Dynamic Coherent Risk Measures †

@inproceedings{Riedel2003DynamicCR,
  title={Dynamic Coherent Risk Measures †},
  author={Frank Riedel},
  year={2003}
}
Banks and regulatory agencies use monetary measures of risk to assess the risk taken by financial investors; important examples are given by the so–called Value at Risk and the class of Coherent Risk Measures. The existing risk measures are of a static, one period nature. In practice, however, portfolios consist, of course, of a variety of different assets and derivatives with distinct maturities. Moreover, as time passes, new information arrives and has to be accounted for appropriately. In… CONTINUE READING
Highly Influential
This paper has highly influenced 19 other papers. REVIEW HIGHLY INFLUENTIAL CITATIONS
Highly Cited
This paper has 197 citations. REVIEW CITATIONS

From This Paper

Figures, tables, results, connections, and topics extracted from this paper.
134 Extracted Citations
6 Extracted References
Similar Papers

Citing Papers

Publications influenced by this paper.

198 Citations

01020'05'08'11'14'17
Citations per Year
Semantic Scholar estimates that this publication has 198 citations based on the available data.

See our FAQ for additional information.

Referenced Papers

Publications referenced by this paper.
Showing 1-6 of 6 references

Multiperiod Risk and Coherent Multiperiod Risk Measurement,

  • H. Ku
  • Manuscript, ETH Zürich
  • 2002
Highly Influential
4 Excerpts

A Class of Dynamic Risk Measures,

  • T. Wang
  • University of British Columbia
  • 2002
1 Excerpt

Dynamic Choice and Nonexpected Utility,

  • R. Sarin, P. Wakker
  • Journal of Risk and Uncertainty,
  • 1998
1 Excerpt

Similar Papers

Loading similar papers…