Chambers, Christopher P. (2009) An axiomatization of quantiles on the domain of distribution functions. Mathematical Finance, 19 (2). pp. 335-342. ISSN 0960-1627. https://resolver.caltech.edu/CaltechAUTHORS:20090416-111322353
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Abstract
In an environment in which the primitive is the space of distribution functions, we characterize the quantile functions by the axioms ordinal covariance, monotonicity with respect to first-order stochastic dominance, and upper semicontinuity. We show how to characterize the VaR in a similar manner.
| Item Type: | Article | |||||||||
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| Additional Information: | © 2009 Wiley Periodicals, Inc. Manuscript received December 2006; final revision received September 2007. | |||||||||
| Subject Keywords: | risk measure; VaR; quantile; axiom | |||||||||
| Issue or Number: | 2 | |||||||||
| Record Number: | CaltechAUTHORS:20090416-111322353 | |||||||||
| Persistent URL: | https://resolver.caltech.edu/CaltechAUTHORS:20090416-111322353 | |||||||||
| Usage Policy: | No commercial reproduction, distribution, display or performance rights in this work are provided. | |||||||||
| ID Code: | 13999 | |||||||||
| Collection: | CaltechAUTHORS | |||||||||
| Deposited By: | Jason Perez | |||||||||
| Deposited On: | 22 Apr 2009 18:35 | |||||||||
| Last Modified: | 03 Oct 2019 00:46 |
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