SpectralMeasuresofRiskCoherenceintheoryandpractice Budapest–September11,2003 Subjectofthetalk:onlyfinance(andabitofstatistic)RiskManagementQuestions Financial WhatdoImeasure?Statistical HowdoIestimateit?OurinvestigationwillbePcroombapblielitsetliycdevCootemdptuotaftinioannaclial andstatisticalquestions.What HowcanI ...
Heath, Coherent Measures of Risk, Mathematical Finance 9 (3), 203-228, 1999Artzner, P., F. Delbaen, J-M. Eber, and D. Heath (1999). Coherent Measures of Risk, Mathematical Finance 9(3), 203-228.P. ARTZNER, F. DELBAEN, J.-M. EBER, AND D. HEATH, Coherent measures of risk,...
regulators, being more conservative than the value at risk measurement. A nontechnical presentation of part of this work is given in Artzner et al. (1997). 2. DEFINITION OF RISK AND OF COHERENT RISK MEASURES This section accomplishes the program set in items (1), (2), and (3) above, ...
Coherent measures of Risk一致风险测度 热度: Convex Risk Measures Basic Facts, Law-invariance :凸风险度量的基本事实,法律的不变性 热度: Reserve Margins and Capital CLRS – New Orleans September 11, 2001 Chuck Emma, MHL/Paratus Chandu Patel, KPMG LLP ...
Artzner, Ph., F. Delbaen, J.-M. Eber, andD. Heath (1998), Coherent Measures of Risk, submitted. Choquet, G. (1953), Theory of capacities, Ann, Inst. Fourier 5, 131–295. MathSciNet Google Scholar Delbaen, F. (1974), Convex Games and Extreme Points, Journ. Math. Anal. Appli...
Adam, A., Houkari, M., Laurent, J.-P.: Spectral risk measures and portfolio selection. J. Bank. Financ. 32, 1870–1882 (2008) Article Google Scholar Arrow, K.J.: Essays in the Theory of Risk-Bearing. Markham, Chicago (1971) MATH Google Scholar Artzner, P., Delbaen, F., Ebe...
Expected shortfall (ES) proposed by Artzner et al. (1997) is a coherent risk measure, and calculates the conditional mean loss beyond VaR. Many authors have
1999. "Application of Coherent Risk Measures to Capital Requirements in Insurance." North American Ac- tuarial Journal 3(2): 11-25.Artzner, Philippe (Artzner 1999): Application of Coherent Risk Measures to Capital Requirements in Insurance, in: North American Actuarial Journal, 1999, Vol. 3, ...
Coherent allocation of risk capital - Denault () Citation Context ... (see Artzner et al., 1999, [6]). ES has been proposed as a natural remedy for the deciencies of VaR . The concept of coherent allocation of risk ...
In a separate strand of the literature, in financial mathematics, convex risk measures have played an increasingly important role since their introduction by F¨ollmer and Schied [8], Fritelli and Rosazza Gianin [10] and Heath and Ku [18], generalizing the seminal Artzner et al. [2];...