59 citations · 199 across the 36 of their papers we have counts for
8 papers · 1 filter
Coherent estimation of risk measures
Martin Aichele, Igor Cialenco, Damian Jelito +1
We develop a statistical framework for risk estimation, inspired by the axiomatic theory of risk measures. Coherent risk estimators -- functionals of P\&L samples inheriting the ec…
Time consistency of dynamic risk measures and dynamic performance measures generated by distortion functions
Tomasz R. Bielecki, Igor Cialenco, Hao Liu
The aim of this work is to study risk measures generated by distortion functions in a dynamic discrete time setup, and to investigate the corresponding dynamic coherent acceptabili…
Fair Estimation of Capital Risk Allocation
Tomasz R. Bielecki, Igor Cialenco, Marcin Pitera +1
In this paper we develop a novel methodology for estimation of risk capital allocation. The methodology is rooted in the theory of risk measures. We work within a general, but trac…
A Dynamic Model of Central Counterparty Risk
Tomasz R. Bielecki, Igor Cialenco, Shibi Feng
We introduce a dynamic model of the default waterfall of derivatives CCPs and propose a risk sensitive method for sizing the initial margin (IM), and the default fund (DF) and its…
Dynamic Limit Growth Indices in Discrete Time
Tomasz R. Bielecki, Igor Cialenco, Marcin Pitera
We propose a new class of mappings, called Dynamic Limit Growth Indices, that are designed to measure the long-run performance of a financial portfolio in discrete time setup. We s…
Dynamic Conic Finance: Pricing and Hedging in Market Models with Transaction Costs via Dynamic Coherent Acceptability Indices
Tomasz R. Bielecki, Igor Cialenco, Ismail Iyigunler +1
In this paper we present a theoretical framework for determining dynamic ask and bid prices of derivatives using the theory of dynamic coherent acceptability indices in discrete ti…