Regulator-Based Risk Statistics for Portfolios

الملخص EN

Risk statistic is a critical factor not only for risk analysis but also for financial application.

However, the traditional risk statistics may fail to describe the characteristics of regulator-based risk.

In this paper, we consider the regulator-based risk statistics for portfolios.

By further developing the properties related to regulator-based risk statistics, we are able to derive dual representation for such risk.