ON TWO APPROACHES TO COHERENT RISK CONTRIBUTION
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Publication:3008491
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
coherent risk measureminimal extreme measureconditional VaRweighted VaRdirectional risk contributionlinear risk contributionMINVaR
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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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