Coherent measures of risk in everyday market practice†
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Publication:5423188
DOI10.1080/14697680701461590zbMath1190.91071OpenAlexW2160284481MaRDI QIDQ5423188
Publication date: 22 October 2007
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680701461590
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Related Items (9)
On the conditional value-at-risk probability-dependent utility function ⋮ Probability equivalent level of value at risk and higher-order expected shortfalls ⋮ Data envelopment analysis models of investment funds ⋮ Generalized PELVE and applications to risk measures ⋮ Adjusted higher-order expected shortfall ⋮ Robustness and sensitivity analysis of risk measurement procedures ⋮ Qualitative robustness of set-valued value-at-risk ⋮ TERES: Tail Event Risk Expectile Shortfall ⋮ Consistent modeling of risk averse behavior with spectral risk measures
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