Imperial College London
Alternate

ProfessorDamianoBrigo

Faculty of Natural Sciences, Department of Mathematics

Chair in Mathematical Finance
 
 
 
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Contact

 

damiano.brigo CV

 
 
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Location

 

805Weeks BuildingSouth Kensington Campus

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Summary

 

Publications

Citation

BibTex format

@article{Armstrong:2018,
author = {Armstrong, J and Brigo, D},
journal = {Risk -London- Risk Magazine Limited-},
pages = {63--63},
title = {Rogue traders versus value-at-risk and expected shortfall},
url = {http://www.risk.net/5477896%20%5Bhttp://www.risk.net/5477896},
year = {2018}
}
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RIS format (EndNote, RefMan)

TY  - JOUR
AB  - We show that,  in a Black and Scholes market,  value at risk and ex-pected shortfall are irrelevant in limiting traders excessive tail-risk seekingbehaviour as modelled via Kahneman and Tversky’s S-shaped utility.  Tohave effective constraints one can introduce a risk limit based on a secondbut concave utility function.
AU  - Armstrong,J
AU  - Brigo,D
EP  - 63
PY  - 2018///
SN  - 0952-8776
SP  - 63
TI  - Rogue traders versus value-at-risk and expected shortfall
T2  - Risk -London- Risk Magazine Limited-
UR  - http://www.risk.net/5477896%20%5Bhttp://www.risk.net/5477896
UR  - http://hdl.handle.net/10044/1/58605
ER  -
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