Beyond cash-additive risk measures: when changing the numéraire fails (Q471176)
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scientific article
| Language | Label | Description | Also known as |
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| default for all languages | No label defined |
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| English | Beyond cash-additive risk measures: when changing the numéraire fails |
scientific article |
Statements
Beyond cash-additive risk measures: when changing the numéraire fails (English)
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14 November 2014
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risk measures
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acceptance sets
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general eligible assets
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defaultable bonds
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cash subadditivity
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quasiconvexity
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value-at-risk
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tail value-at-risk
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shortfall risk
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0.8394394
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0.83584696
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0.8331296
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0.8314658
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