On Decomposing Risk in a Financial-intermediate Market and Reserving
نویسندگان
چکیده
We consider the problem of decomposing monetary risk in the presence of a fully traded market in some risks. We show that a mark-to-market approach to pricing leads to such a decomposition if the risk measure is time-consistent in the sense of Delbaen.
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6 on Decomposing Risk in a Financial - Intermediate Market and Reserving
We consider the problem of decomposing monetary risk in the presence of a fully traded market in some risks. We show that a mark-to-market approach to pricing leads to such a decomposition if the risk measure is time-consistent in the sense of Delbaen.
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تاریخ انتشار 2006