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• W2803177789 abstract "Motivated by liquidity risk in mathematical finance, Lacker (2015) introduced concentration inequalities for risk measures, i.e. upper bounds on the liquidity risk profile of a financial loss. We derive these inequalities in the case of time-consistent dynamic risk measures when the filtration is assumed to carry a Brownian motion. The theory of backward stochastic differential equations (BSDEs) and their dual formulation plays a crucial role in our analysis. Natural by-products of concentration of risk measures are a description of the tail behavior of the financial loss and transport-type inequalities in terms of the generator of the BSDE, which in the present case can grow arbitrarily fast." @default.
• W2803177789 created "2018-06-01" @default.
• W2803177789 creator A5085013569 @default.
• W2803177789 date "2019-05-01" @default.
• W2803177789 modified "2023-10-18" @default.
• W2803177789 title "Concentration of dynamic risk measures in a Brownian filtration" @default.
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• W2803177789 doi "https://doi.org/10.1016/j.spa.2018.05.008" @default.
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