Emanuela Rosazza Gianin: Generalized shortfall risk measures and horizon risk

Abstract

In the framework of risk measures in a dynamic context or, better, of fully-dynamic risk measures, horizon longevity has been introduced in one of our previous works to take into account horizon risk, that is, the under/over-estimation of capital requirements due to the use of a risk measure referring to a non-adequate time horizon.

In this talk, we will provide a family of examples, inspired by entropic risk measures, conditional certainty equivalents and/or shortfall risk measures, satisfying horizon longevity and, possibly, strong time-consistency. Generalized shortfall risk measures will be then introduced to this purpose.

Based on joint works with Giulia Di Nunno.