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coherent risk measure sign in to follow this
good deal sign in to follow this
robust risk measure sign in to follow this
law invariant risk measure sign in to follow this
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VaR Methods sign in to follow this
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Trade-Off between Robust Risk Measurement and Market Principals
Year Of Publication: 2011
Month Of Publication: May
Pages: 18
Download Count: 2
View Count: 1252
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 5-26-2011
Publisher: Administrator
Summary
The paper is organized as follows. In section 2 we will de ne a coherent risk measure and briefly compare it with VaR (Value at Risk). Then, we define distribution invariant risk measures and the notion of a Good Deal. In section 3 we will show that in a perfect market, a robust risk measure generates Good Deals. In section 4 we de ne the minimal modi cation of a distribution invariant risk measure and analyze its sensitivity.
Author(s)
Assa, Hirbod Sign in to follow this author
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