Research on Risk Measures Model Based on Dynamic Consistency
Wang Yan · Journal of systems management · 2007
The CVaR model,which was based on coherent measure of risk,lacks of dynamic properties for multi-period risk measures,especially dynamic consistency.In order to solve the problem,DVaR model was proposed in the dynamic coherent measure of risk framework.Finally,a case study was carried on to compare VaR,CVaR and DVaR models with the data from Shanghai and Shenzhen stock markets.The result of backtesting shows that DVaR was superior to VaR and CVaR in multi-period risk measures.