Get 20M+ Full-Text Papers For Less Than $1.50/day. Start a 14-Day Trial for You or Your Team.

Learn More →

Coherent risk measurement: an introduction

Coherent risk measurement: an introduction It is shown that the widely used risk measures standard deviation and value at risk do not always reflect risk preferences accurately. To overcome these problems in risk measurement a class of coherent risk measures has been proposed. We introduce the idea behind these measures and provide an overview of suggested coherent risk measures. Finally it is shown where the limitations of such measures in practical applications are and how regulatory bodies responded to their introduction in the literature. We find that most contributions on coherent risk measurement come from the actuarial sciences and propagate a widening of the discussion among researchers and practitioners in other industries. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Balance Sheet Emerald Publishing

Coherent risk measurement: an introduction

Andreas Krause
Balance Sheet , Volume 10 (4): 5 – Dec 1, 2002
Download PDF
5 pages

Loading next page...
 
/lp/emerald-publishing/coherent-risk-measurement-an-introduction-iEIG8OmwcP
Publisher
Emerald Publishing
Copyright
Copyright © 2002 MCB UP Ltd. All rights reserved.
ISSN
0965-7967
DOI
10.1108/09657960210450736
Publisher site
See Article on Publisher Site

Abstract

It is shown that the widely used risk measures standard deviation and value at risk do not always reflect risk preferences accurately. To overcome these problems in risk measurement a class of coherent risk measures has been proposed. We introduce the idea behind these measures and provide an overview of suggested coherent risk measures. Finally it is shown where the limitations of such measures in practical applications are and how regulatory bodies responded to their introduction in the literature. We find that most contributions on coherent risk measurement come from the actuarial sciences and propagate a widening of the discussion among researchers and practitioners in other industries.

Journal

Balance Sheet – Emerald Publishing

Published: Dec 1, 2002

Keywords: Risk; Measurement; Value; Risk management

References

  • On the coherence of expected shortfall
    Acerbi, C.; Tasche, D.
  • Expected shortfall: a natural coherent alternative to value at risk
    Acerbi, C.; Tasche, D.
  • International Convergence of Capital Measurements and Capital Standards
    Basel Committee on Banking Supervision
  • Amendment to the Basel Capital Accord to Incorporate Market Risk
    Basel Committee on Banking Supervision
  • The Basel Capital Accord
    Basel Committee on Banking Supervision
  • Risk as a primitive: a survey of measures of perceived risk
    Brachinger, H.‐W.; Weber, M.
  • Examples of coherent risk measures depending on one‐sided moments
    Fischer, T.
  • Quantile‐VaR is the wrong measure to quantify market risk for regulatory purposes
    Jaschke, S.R.
  • Value at Risk: The New Benchmark for Managing Financial Risk
    Jorion, P.
  • RiskMetrics 1
    J.P. Morgan
  • Portfolio selection
    Markowitz, H.
  • A single number cannot hedge against economic catastrophes
    Rootzén, H.; Küppelberg, C.
  • Premium calculation by transforming the layer premium density
    Wang, S.S.
  • Distortion Risk Measure: Coherence and Stochastic Dominance
    Wirch, J.L.; Hardy, M.R.
  • Comparative analyses of expected shortfall and value‐at‐risk (2): expected utility maximization and tail risk
    Yamai, Y.; Yoshiba, T.