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coherent risk measures sign in to follow this
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VaR Methods sign in to follow this
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Measures of Risk
Company: Journal of Banking and Finance
Company Url: Click here to open
Year Of Publication: 2002
Month Of Publication: July
Resource Link: Click here to open
Pages: 1253-1272
Download Count: 1210
View Count: 9395
Comment Num: 0
Language: EN
Source: article
Who Can Read: Free
Date: 3-15-2003
Publisher: Administrator
Summary
The conditions under which the classical measuresof risk like the mean, the linear correlationcoefficient and VaR can be used are discussed.The definition of risk measure and the main recently proposed risk measures are presented. The problems connected with co-dependence are outlined.
(volume 26, number 7)
Author(s)
Szego, Giorgio Sign in to follow this author
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