Pricing with Coherent Risk (Q3532119)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing with Coherent Risk |
scientific article |
Statements
Pricing with Coherent Risk (English)
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3 November 2008
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capital allocation
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coherent risk measure
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extreme measure
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generator
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no good deals
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RAROC
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risk contribution
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risk-neutral measure
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support function
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tail V\@R
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transaction costs
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weighted V\@R
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