Coherent Measures of Risk
Philippe Artzner, Freddy Delbaen, Jean‐Marc Eber, David Heath
Source record
Source: Crossref
Published: Jul 1, 1999
DOI: 10.1111/1467-9965.00068
Open original source ↗Source abstract
In this paper we study both market risks and nonmarket risks, without complete markets assumption, and discuss methods of measurement of these risks. We present and justify a set of four desirable properties for measures of risk, and call the measures satisfying these properties “coherent.” We examine the measures of risk provided and the related actions required by SPAN, by the SEC/NASD rules, and by quantile‐based methods. We demonstrate the universality of scenario‐based methods for providing coherent measures. We offer suggestions concerning the SEC method. We also suggest a method to repair the failure of subadditivity of quantile‐based methods.
Evidence graph
No public relationships recorded yet.
Integrity note: This page is a factual metadata record created by deterministic ingestion. It is not a claim that the work moves a mathematical frontier or has been independently verified.