Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/212078 
Authors: 
Year of Publication: 
2007
Series/Report no.: 
Bank of Finland Research Discussion Papers No. 20/2007
Publisher: 
Bank of Finland, Helsinki
Abstract: 
The difference between market risk and potential market risk is emphasized and a measure of the latter risk is proposed. Specifically, it is argued that the spectrum of smooth Lyapunov exponents can be utilized in what we call (??2)-analysis, which is a method to monitor the aforementioned risk measures. The reason is that these exponents focus on the stability properties (?) of the stochastic dynamic system generating asset returns, while more traditional risk measures such as value-at-risk are concerned with the distribution of returns (?2).
Subjects: 
market risk
potential market risk
smooth Lyapunov exponents
stochastic dynamic system
value-at-risk
JEL: 
G11
Persistent Identifier of the first edition: 
ISBN: 
978-952-462-389-6
Document Type: 
Working Paper

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