# SlideVaR: a risk measure with variable risk attitudes

## TL;DR

SlideVaR is a novel risk measure that adapts to changing investor risk attitudes and market conditions, offering a practical and mathematically sound tool for risk assessment in volatile markets.

## Contribution

The paper introduces SlideVaR, a new risk measure that captures dynamic risk attitudes and market impacts, with proven mathematical properties and practical advantages.

## Key findings

- SlideVaR reflects varying investor risk attitudes effectively.
- It satisfies key mathematical properties like risk-tail sub-additivity.
- Empirical results show SlideVaR outperforms traditional measures in volatile markets.

## Abstract

To find a trade-off between profitability and prudence, financial practitioners need to choose appropriate risk measures. Two key points are: Firstly, investors' risk attitudes under uncertainty conditions should be an important reference for risk measures. Secondly, risk attitudes are not absolute. For different market performance, investors have different risk attitudes. We proposed a new risk measure named SlideVaR which sufficiently reflects the different subjective attitudes of investors and the impact of market changes on investors' attitudes. We proposed the concept of risk-tail region and risk-tail sub-additivity and proved that SlideVaR satisfies several important mathematical properties. Moreover, SlideVaR has a simple and intuitive form of expression for practical application. Several simulate and empirical computations show that SlideVaR has obvious advantages in markets where the state changes frequently.