Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/237126 
Year of Publication: 
2018
Citation: 
[Journal:] Financial Innovation [ISSN:] 2199-4730 [Volume:] 4 [Issue:] 1 [Publisher:] Springer [Place:] Heidelberg [Year:] 2018 [Pages:] 1-13
Publisher: 
Springer, Heidelberg
Abstract: 
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.
Subjects: 
Choquet-Brownian motion
Risk measures
Ambiguity aversion
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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