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Regulatory Distortions and Alternatives

15 Pages Posted: 22 Jun 2020

See all articles by Hirbod Assa

Hirbod Assa

University of Essex - Department of Mathematics

Date Written: May 27, 2020

Abstract

Abstract In this paper we introduce a new distortion risk measure that is motivated by the equivalence made by the regulator between the using the CVaR of 97.5 percent instead of VaR of 99 percent. We introduce a distortion function that matches the value of the normal quantiles with the same for CVaR. We also study this distortion and show it's convex and that it is more risk averse than Wang's distortion.

Suggested Citation

Assa, Hirbod, Regulatory Distortions and Alternatives (May 27, 2020). Available at SSRN: https://ssrn.com/abstract=3611878 or http://dx.doi.org/10.2139/ssrn.3611878

Hirbod Assa (Contact Author)

University of Essex - Department of Mathematics ( email )

Wivenhoe Park
Colchester, Essex CO4 3SQ
United Kingdom

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