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On Coherent Risk Measures Induced by Convex Risk Measures
Methodology and Computing in Applied Probability, 2017zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Chen, Zhiping, Hu, Qianhui
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Journal of Banking & Finance, 2002
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Mathematical Finance, 1999
In this paper we study both market risks and nonmarket risks, without complete markets assumption, and discuss methods of measurement of these risks. We present and justify a set of four desirable properties for measures of risk, and call the measures satisfying these properties “coherent.” We examine the measures of risk provided and the related ...
Artzner, Philippe +3 more
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In this paper we study both market risks and nonmarket risks, without complete markets assumption, and discuss methods of measurement of these risks. We present and justify a set of four desirable properties for measures of risk, and call the measures satisfying these properties “coherent.” We examine the measures of risk provided and the related ...
Artzner, Philippe +3 more
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The Journal of Risk Model Validation, 2008 Model risk as part of the operational risk is a serious problem for financial institutions. As the pricing of derivatives as well as the computation of the market or credit risk of an institution depend on statistical models the application of a wrong model can lead to a serious overor underestimation of the institution’s risk.
Sibbertsen, Philipp +2 more
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1981
The Thirteenth Rochester International Conference on Environmental Toxicity examined both the logical soundness of the inference of risk and the validity of the experimental evidence of damage. Examples were drawn from current research by the participants on environmental hazards of toxic chemicals and ionizing radiation.
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The Thirteenth Rochester International Conference on Environmental Toxicity examined both the logical soundness of the inference of risk and the validity of the experimental evidence of damage. Examples were drawn from current research by the participants on environmental hazards of toxic chemicals and ionizing radiation.
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, 2013 In this paper we present systemic risk measures based on contingent claims approach, banking sector multivariate density and cluster analysis. These indicators aim to capture credit risk stress and its potential to become systemic. The proposed measures capture not only individual bank vulnerability, but also the stress dependency structure between ...
Solange Maria Guerra +3 more
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2001
As discussed in the introductory chapter, the uncertainty associated with the future (terminal) value of a portfolio may be modelled as a random variable g[w(T)] whose probabilistic characteristics are specified by the induced probability measure P g or its associated distribution function F g .
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As discussed in the introductory chapter, the uncertainty associated with the future (terminal) value of a portfolio may be modelled as a random variable g[w(T)] whose probabilistic characteristics are specified by the induced probability measure P g or its associated distribution function F g .
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Risk Measures and Comonotonicity: A Review
Stochastic Models, 2006In this paper we examine and summarize properties of several well-known risk measuresthat can be used in the framework of setting solvency capital requirements for a risky business.Special attention is given to the class of (concave) distortion risk measures.
Dhaene, J.L.M. +5 more
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Consistent measures of risk [PDF]
, 2006 In this paper we compare overall as well as downside risk measures with respect to the criteria of first and second order stochastic dominance. While the downside risk measures, with the exception of tail conditional expectation, are consistent with first order stochastic dominance, overall risk measures are not, even if we restrict ourselves to two ...
Casper G. de Vries +4 more
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, 2000 We provide a critique of the methods that have been used to derive measures of income risk and draw attention to the importance of demographic factors as a source of income risk. We also propose new measures of the contribution to total income risk of demographic and labour market factors.
Simon Burgess +3 more
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