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AN AXIOMATIZATION OF QUANTILES ON THE DOMAIN OF DISTRIBUTION FUNCTIONS
Authors:Christopher P.  Chambers
Affiliation:California Institute of Technology
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
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