Measures of risk

DOI10.1016/j.ejor.2003.12.016zbMath1066.91061OpenAlexW1988562801MaRDI QIDQ704052

Giorgio Szegö

Publication date: 12 January 2005

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2003.12.016

zbMATH Keywords

risk measuresexpected shortfallconditional value-at-riskscalar co-dependence measuresspectral risk measures and acceptable risk weights

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

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Uses Software

• RiskMetrics

Cites Work

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