(intime)?howeverabsolutelygeneral Part1:DefiningaRiskMeasure Thequalitativeconceptof“risk”and“riskpremium”Everybodyhasaninnatefeelingforfinancialrisk...moreorlessthis...Howtodefineriskinaquantitativefashion?...ConceptofRisk ?RiskMeasure fundamentalshared principles test requirements(axioms)onthe ...
Inthepaper“CoherentmeasuresofRisk”(,July1999)asetofaxiomswasproposedasthekeypropertiestobesatisfiedbyany“coherentmeasureofrisk”.ThediversificationprinciplegoeshereValueatRisk(VaR):howitworksTocomputeVaR,weneedtospecifyAtimehorizon:Aconfidencelevel:forinstancea5%.ThedefinitionofVaRisthen:“TheVaRofaportfolio...
1)coherent risk一致风险度量 英文短句/例句 1.Relative Value-at-Risk: A New Kind of Coherent Risk Measure;相对风险价值——一种新的一致风险度量 2.The New Tool of Coherence Risk Measurement CDaR And its Application;一致性风险度量新工具CDaR及其应用 3.Coherent Measures of Credit Portfolio Risk under...
distortion risk measurecoherent distortion risk measureportfolio selectionThe theme of this paper relates to solving portfolio selection problems using linear programming. We extend the well-known linear optimization framework for Conditional Value-at-Risk (CVaR)-based portfolio selection problems [1, 2] ...
Value at Risk (VaR): how it works To compute VaR, we need to specify A time horizon: for instance one day. It represents the future period over which we measure the risks of a portfolio A confidence level: for instance a 5% probability. It represents the fraction of future worst case ...
marginrequirement, marketrisk,meanexcessfunction,measureofrisk,modelrisk,networth,quantile,risk-basedcapital, scenario,shortfall,subadditivity,tailvalueatrisk,valueatrisk 1.INTRODUCTION Weprovideinthispaperadefinitionofrisks(marketrisksaswellasnonmarketrisks)and presentandjustifyaunifiedframeworkfortheanalysis...
of portfolios optimized by HMCR(p=2,3)are the best,which reveals that it has the highest discrimination of risk,and the higher expected rate of return confirms the validity of this measure.In addition,we expand our method to SEE 50,SME Board and GEM,and we can obtain the similar results...
基于上述风险测度的局限性,Artzner等(1999)提出了一致性风险测度(Coherent Risk Measure)概念。他们认为一种良好定义的风险测度应该满足单调性、正齐次性、平移不变性和次可加性四条公理,并将满足这些公理的风险测度成为一致性风险测度。定义ρ(X)为风险测度,X为资产x的损失金额,X是一个随机变量。
Which of the following is NOT a correct description of a coherent risk measure property? I. Homogeneity – the size of a portfolio will impact the size of its risk. II. Monotonicity – a portfolio with greater future returns will likely have less risk. III. Subadditivity – the risk of a...
However Value-at-Risk does not encourage portfolio diversification in general, whereas a consistent risk measure has to do so. In this work, risk measures satisfying these consistency conditions are examined within theoretical basis. Different types of coherent and convex risk measures are investigated...