Value-at-risk under ambiguity aversion  

作　　者：Rossella Agliardi 

机构地区：[1]Department of Mathematics,University of Bologna,Viale Filopanti,5,Bologna,Italy

出　　处：《Financial Innovation》2018年第1期161-174,共14页金融创新（英文）

摘　　要：This study explored the effects of ambiguity on the calculation of Value-at-Risk(VaR)using a mathematical model based on the theory of Choquet-Brownian processes.It was found that while a moderate degree of ambiguity aversion yields a higher value for VaR and Expected Shortfall(ES),the result can be reversed in a deeply ambiguous environment.Additionally,some sufficient conditions are provided for the preservation of this effect under various forms of risk aggregation.This study offers a new perspective to full awareness on capital requirement calculation as requested by international regulation.

关 键 词：Choquet-Brownian motion Risk measures Ambiguity aversion 

分 类 号：F83[经济管理—金融学]