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q-fin.RM2015
Liquidity, risk measures, and concentration of measure
Daniel Lacker
Expanding on techniques of concentration of measure, we develop a quantitative framework for modeling liquidity risk using convex risk measures. The fundamental objects of study ar…
q-fin.RM2015
Law invariant risk measures and information divergences
Daniel Lacker
A one-to-one correspondence is drawn between law invariant risk measures and divergences, which we define as functionals of pairs of probability measures on arbitrary standard Bore…