Intra‐Horizon expected shortfall and risk structure in models with jumps

Abstract

The present article deals with intra-horizon risk in models with jumps. Our general understanding of intra-horizon risk is along the lines of the approach taken in Boudoukh et al. (2004); Rossello (2008); Bhattacharyya et al. (2009); Bakshi and Panayotov (2010); and Leippold and Vasiljević (2020). In particular, we believe that quantifying market risk by strictly relying on point-in-time measures cannot be deemed a satisfactory approach in general. Instead, we argue that complementing this approach by studying measures of risk that ca Show more