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SOE: Fachverband Physik sozio-ökonomischer Systeme
SOE 18: Financial Markets and Risk Management I
SOE 18.11: Talk
Thursday, March 17, 2011, 13:00–13:15, GÖR 226
Some considerations on scaling of measures of risk with time — Uli Spreitzer1 and •Thomas Riepl2 — 1Adertshausen 5, 92277 Hohenburg, Germany — 2Thomas-Mann-Str. 22, 93077 Bad Abbach, Germany
Beside the well known discussion on what is the most reasonable measure of risk (e.g. not VaR, Artzner [1]) investment funds must face the problem that they have cash flow with a certain granularity, and they must optimize using risk measures, which used as input data with a certain granularity. Risk measures are according to Brown movement is used. Using data from several stock indices we show, that this scaling is insufficient and underestimates the increase of these risk measures with time. This in accordance with other results [2]
[1] P. Artzner, F. Delbaen, J.M. Eber, and D. Heath. Coherent measures of risk. Mathematical Finance, 9: 203ff,1999.
[2] Jón Daníelsson, Jean-Pierre Zigrand, On time-scaling of risk and the square-root-of-time rule, Journal of Banking and Finance, 30, 10, 2701ff (2006)