Statistics & Risk Modeling
with Applications in Finance and Insurance
Editor-in-Chief: Stelzer, Robert
4 Issues per year
SCImago Journal Rank (SJR) 2015: 0.105
Mathematical Citation (MCQ) Quotient 2014: 0.14
Dynamic risk measures play an important role for the acceptance or non-acceptance of risks in a bank portfolio. Dynamic consistency and weaker versions like conditional and sequential consistency guarantee that acceptability decisions remain consistent in time. An important set of static risk measures are so-called distortion measures. We extend these risk measures to a dynamic setting within the framework of the notions of consistency as above. As a prominent example, we present the Tail-Value-at-Risk (TVaR).