SlideVaR is a proposed risk measure that reflects variable investor risk attitudes and market state changes, with risk-tail sub-additivity and other properties shown via proofs and simulations.
Do banks overstate their Value-at-Risk? Journal of Banking & Finance , 32(5):783–794
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SlideVaR: a risk measure with variable risk attitudes
SlideVaR is a proposed risk measure that reflects variable investor risk attitudes and market state changes, with risk-tail sub-additivity and other properties shown via proofs and simulations.