Risk measures [24]

Go to: Summary | Previous | Next   
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

Contents | Prev | Next | ERM Lecture Series

Desktop view | Switch to Mobile