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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

Balance Sheet , Volume 10 (4): 5 – Dec 1, 2002

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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 SheetEmerald Publishing

Published: Dec 1, 2002

Keywords: Risk; Measurement; Value; Risk management

References