英文标题：
《Model Spaces for Risk Measures》
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作者：
Felix-Benedikt Liebrich, Gregor Svindland
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最新提交年份：
2017
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英文摘要：
We show how risk measures originally defined in a model free framework in terms of acceptance sets and reference assets imply a meaningful underlying probability structure. Hereafter we construct a maximal domain of definition of the risk measure respecting the underlying ambiguity profile. We particularly emphasise liquidity effects and discuss the correspondence between properties of the risk measure and the structure of this domain as well as subdifferentiability properties. Keywords: Model free risk assessment, extension of risk measures, continuity properties of risk measures, subgradients.
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中文摘要：
我们展示了最初在无模型框架中根据接受集和参考资产定义的风险度量如何暗示有意义的潜在概率结构。此后，我们构建了一个关于潜在模糊度轮廓的风险度量定义的最大域。我们特别强调流动性效应，并讨论了风险度量的属性与该领域的结构以及次微分属性之间的对应关系。关键词：无模型风险评估、风险度量的扩展、风险度量的连续性、次梯度。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Mathematics 数学
二级分类：Functional Analysis 功能分析
分类描述：Banach spaces, function spaces, real functions, integral transforms, theory of distributions, measure theory
Banach空间，函数空间，实函数，积分变换，分布理论，测度理论
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