AN AXIOMATIZATION OF QUANTILES ON THE DOMAIN OF DISTRIBUTION FUNCTIONS

Author: Chambers, ChristopherP.

Source: Mathematical Finance, Volume 19, Number 2, April 2009 , pp. 335-342(8)

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Abstract:

In an environment in which the primitive is the space of distribution functions, we characterize the quantile functions by the axioms ordinal covariance, monotonicity with respect to first-order stochastic dominance, and upper semicontinuity. We show how to characterize the VaR in a similar manner.

Keywords: risk measure; VaR; quantile; axiom

Document Type: Research article

DOI: http://dx.doi.org/10.1111/j.1467-9965.2009.00369.x

Affiliations: 1: California Institute of Technology

Publication date: 2009-04-01