Dynamic Coherent Risk Measures †

  title={Dynamic Coherent Risk Measures †},
  author={Frank Riedel},
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
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Multiperiod Risk and Coherent Multiperiod Risk Measurement,

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  • Manuscript, ETH Zürich
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1 Excerpt

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