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 actions required by SPAN, by the SEC/NASD rules, and by quantile-based methods. We demonstrate...
Coherent measures of Risk一致风险测度.ppt,Geometrical interpretation If any point represents a given coherent measure ... ... Then any other point in the generated “convex hull” is a new coherent measure of risk Given n coherent measures, their most ge
COHERENTMEASURESOFRISK PHILIPPEARTZNER Universit´eLouisPasteur,Strasbourg FREDDYDELBAEN Eidgen¨ossischeTechnischeHochschule,Z¨urich JEAN-MARCEBER Soci´et´eG´en´erale,Paris DAVIDHEATH CarnegieMellonUniversity,Pittsburgh Inthispaperwestudybothmarketrisksandnonmarketrisks,withoutcompletemarketsassumption...
Coherent Measures of Risk CAS Seminar on Dynamic Financial Analysis June 8, 2001 Glenn Meyers Insurance Services Office, Inc. N..
Inthepaper“CoherentmeasuresofRisk”(,July1999)asetofaxiomswasproposedasthekeypropertiestobesatisfiedbyany“coherentmeasureofrisk”.ThediversificationprinciplegoeshereValueatRisk(VaR):howitworksTocomputeVaR,weneedtospecifyAtimehorizon:Aconfidencelevel:forinstancea5%.ThedefinitionofVaRisthen:“TheVaRofaportfolio...
1) generalized coherent risk measures 广义一致风险测度1. In this paper we take the investment target into the risk definition,and propose a new axiomatic framework for the class of generalized coherent risk measures. 将资产的目标价值以直观的方式加入到风险的定义中,提出了广义一致风险测度公理假设,...
2) coherent risk measure 一致性风险度量 例句>> 3) coherent measure of risk 一致性风险度量 1. The CVaR model,which was based on coherent measure of risk,lacks of dynamic properties for multi-period risk measures,especially dynamic consistency. 基于一致性风险度量公理建立的CVaR方法缺乏多时期...
Coherent Measures of Risk. Artzner P,Delbaen F,Eber JM,et al. Mathematical Finance . 1999Artzner P,Delbaen F,Eber JM,et al.Coherent Measures of Risk.Mathematical Finance. 1999Artzner P,Delbaen F,Eber JM,et al.Coherent measures of risk.M...
One of the financial risks an agent has to deal with is market risk. Market risk is caused by the uncertainty attached to asset values. There exit various measures trying to model market risk. The most widely accepted one is Value-at- Risk. However Value-at-Risk does not encourage portfoli...
For general law invariant coherent measures of risk, we derive an equivalent representation of a risk-averse newsvendor problem as a mean-risk model. We prove that the higher the weight of the risk functional, the smaller the order quantity. Our theoretical results are confirmed by sample-based...