Pricing with Coherent Risk (Q3532119)

From MaRDI portal
scientific article
Language Label Description Also known as
English
Pricing with Coherent Risk
scientific article

    Statements

    Pricing with Coherent Risk (English)
    0 references
    3 November 2008
    0 references
    0 references
    capital allocation
    0 references
    coherent risk measure
    0 references
    extreme measure
    0 references
    generator
    0 references
    no good deals
    0 references
    RAROC
    0 references
    risk contribution
    0 references
    risk-neutral measure
    0 references
    support function
    0 references
    tail V\@R
    0 references
    transaction costs
    0 references
    weighted V\@R
    0 references
    0 references