Measures of risk

被引：158

作者：

Szegö, G ^{[1
]}

机构：

[1] Univ Roma La Sapienza, Rome, Italy

来源：

JOURNAL OF BANKING & FINANCE | 2002年 / 26卷 / 07期

关键词：

risk measures; scalar co-dependence measures; conditional value-at risk; expected shortfall; spectral risk measures and acceptable risk weights;

D O I：

10.1016/S0378-4266(02)00262-5

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The conditions under which the classical measures of risk like the mean, the linear correlation coefficient and VaR can be used are discussed. The definition of risk measure and the main recently proposed risk measures are presented. The problems connected with co-dependence are outlined. (C) 2002 Published by Elsevier Science B.V.

引用

页码：1253 / 1272

页数：20

共 71 条

[1]

ACERBI C, 2002, J BANKING FINAN 0726

[2]

ALBANESE C, 1997, CREDIT EXPOSURES DIV

[3]

Alexander C., 2001, MASTERING RISK

[4]

ANDERSSON F, 2000, MATH PROGRAMMING

[5]

ANE T, 2001, IN PRESS J BUSINESS

[6]

[Anonymous], 2001, MODELLING DEPENDENCE

[7]

[Anonymous], LEVY PROCESSES THEOR

[8]

[Anonymous], 1 BIS BAS COMM BANK

[9]

[Anonymous], 2000, EXTREMES INTEGRATED

[10] Coherent measures of risk [J].

Artzner, P ;

Delbaen, F ;

Eber, JM ;

Heath, D .

MATHEMATICAL FINANCE, 1999, 9 (03) :203-228

← 1 2 3 4 5 6 7 8 →