ON TWO APPROACHES TO COHERENT RISK CONTRIBUTION

DOI10.1111/J.1467-9965.2010.00441.XzbMath1218.91071OpenAlexW1943945541MaRDI QIDQ3008491

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Publication date: 16 June 2011

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2010.00441.x

zbMATH Keywords

coherent risk measureminimal extreme measureconditional VaRweighted VaRdirectional risk contributionlinear risk contributionMINVaR

Mathematics Subject Classification ID

Related Items (12)

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Cites Work

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• Weighted V\@R and its properties
• Risk capital allocation by coherent risk measures based on one-sided moments.
• Core of convex distortions of a probability.
• Generalized deviations in risk analysis
• Coherent Measures of Risk
• Law invariant risk measures have the Fatou property
• AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION

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