Enterprise Risk Management Slides

Measuring and managing market, credit and Op risk [86]

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Bullet points include: Artzner et al. (1999) define a risk measure r(x) to be coherent if it satisfies Subadditivity: for any pair of loss variables x1 and x2 Monotonicity: if, for all states of the world, x1 > x2 then Homogeneity: for any constant lambda > 0 and random variable x Translational invariance: for any constant d and random loss variable x

Bullet points include: Artzner et al. (1999) define a risk measure r(x) to be coherent if it satisfies Subadditivity: for any pair of loss variables x1 and x2 Monotonicity: if, for all states of the world, x1 > x2 then Homogeneity: for any constant lambda > 0 and random variable x Translational invariance: for any constant d and random loss variable x

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