Coherent Measures of Risk
Bibliographic Data
| ID | 23366208 |
|---|---|
| Authors | Philippe Artzner (Université de Strasbourg), Freddy Delbaen (0000-0003-2422-1433, Board of the Swiss Federal Institutes of Technology), Jean‐Marc Eber (Socotec (France)), David Heath (0000-0002-7963-9733, Carnegie Mellon University) |
| Year | 1999 |
| Volume | 9 |
| Issue | 3 |
| Pages | 203-228 |
| Publication date | 1999-07-01 |
| Peer Reviewed | Yes |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Mathematical Finance (JOURNAL) |
| Journal identifiers | ISSN: 0960-1627 • E-ISSN: 1467-9965 |
| Publisher | Wiley (PUBLISHER • GB) |
| DOI | 10.1111/1467-9965.00068 |
| OpenAlex | W2019291268 |
| Language | EN |
| Citations received | 63 |
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 actions required by SPAN, by the SEC/NASD rules, and by quantile‐based methods. We demonstrate the universality of scenario‐based methods for providing coherent measures. We offer suggestions concerning the SEC method. We also suggest a method to repair the failure of subadditivity of quantile‐based methods.
Actuarial science · Business · Coherent risk measure · Dynamic risk measure · Econometrics · Economics · Expected shortfall · Financial economics · Market risk · Quantile · Risk analysis (engineering) · Risk management · Risk measure · Spectral risk measure · Subadditivity · Universality (dynamical systems) · Value at risk · Computer Science · Finance · Financial Risk and Volatility Modeling · Mathematics · Risk and Portfolio Optimization · Risk Management in Financial Firms
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| Unique citing works | 63 |
|---|---|
| Citations per year | 2,33 |
| Citation span | 1999 - 2026 (28) |
| Citation velocity | current |
| Highly cited | No |
| Citation types | Neutral: 55 |