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摘要翻译：
本文从金融投资组合的风险度量应基于其损失而不是收益的要求出发，定义了基于损失的风险度量的概念，并研究了这类风险度量的性质。我们用一个表示定理刻画了基于损失的风险测度，并给出了这类风险测度的例子。然后讨论了基于损失的风险测度估计的统计鲁棒性：我们给出了风险估计定性鲁棒性的一般判据，并将该判据与基于影响函数的估计灵敏度分析进行了比较。最后，我们给出了基于损失的风险度量的统计稳健估计量的例子。
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英文标题：
《Loss-Based Risk Measures》
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作者：
Rama Cont, Romain Deguest, Xuedong He
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最新提交年份：
2013
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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：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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英文摘要：
Starting from the requirement that risk measures of financial portfolios should be based on their losses, not their gains, we define the notion of loss-based risk measure and study the properties of this class of risk measures. We characterize loss-based risk measures by a representation theorem and give examples of such risk measures. We then discuss the statistical robustness of estimators of loss-based risk measures: we provide a general criterion for qualitative robustness of risk estimators and compare this criterion with sensitivity analysis of estimators based on influence functions. Finally, we provide examples of statistically robust estimators for loss-based risk measures.
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PDF链接：
https://arxiv.org/pdf/1110.1436
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