Coherent measures of risk

被引：4723

作者：

Artzner, P

Delbaen, F

Eber, JM

Heath, D

机构：

[1] Univ Strasbourg 1, Inst Rech Math Avancee, F-67084 Strasbourg, France

[2] ETH Zurich, Zurich, Switzerland

[3] Soc Gen, Paris, France

[4] Carnegie Mellon Univ, Pittsburgh, PA 15213 USA

来源：

MATHEMATICAL FINANCE | 1999年 / 9卷 / 03期

关键词：

aggregation of risks; butterfly; capital requirement; coherent risk measure; concentration of risks; currency risk; decentralization; extremal events risk; insurance risk; margin requirement; market risk; mean excess function; measure of risk; model risk; net worth; quantile; risk-based capital; scenario; shortfall; subadditivity; tail value at risk; value at risk;

D O I：

10.1111/1467-9965.00068

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页码：203 / 228

页数：26

共 31 条

[1]

ALBRECHT P, 1993, P 3 AFIR INT C ROM, V2, P417

[2]

AMSLER MH, 1991, VEREINIGUNG VERSICHE, V1, P33

[3]

Artzner P., 1997, Journal of Risk, V10, P68

[4]

BASLE COMMITTEE, 1996, AM CAP ACC INC MARK

[5]

BASSI F, 1998, PRACTICAL GUIDE HEAV

[6]

BUHLMANN H, 1995, SATZ HATTENDORF HATT

[7]

BUHLMANN H, 1990, P 1989 CENT CEL ACT, P499

[8]

Cox J.C., 1985, Options Markets

[9]

Daykin C., 1994, PRACTICAL RISK THEOR

[10]

*DER POL GROUP, 1995, FRAM VOL OV OTC DER

← 1 2 3 4 →