Risk measure

Known as: Risk measures 
In financial mathematics, a risk measure is used to determine the amount of an asset or set of assets (traditionally currency) to be kept in reserve… (More)
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Papers overview

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Highly Cited
2011
Highly Cited
2011
Describing the latest advances in the field, Quantitative Risk Management covers the methods for market, credit and operational… (More)
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Highly Cited
2005
Highly Cited
2005
We consider stochastic programs with risk measures in the objective and study stability properties as well as decomposition… (More)
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Highly Cited
2005
Highly Cited
2005
We develop a methodology for optimal design of financial instruments aimed to hedge some forms of risk that is not traded on… (More)
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Highly Cited
2003
Highly Cited
2003
  • Dimitris Bertsimasa, Geo-rey J. Laupreteb, Alexander Samarovc
  • 2003
Motivated from second-order stochastic dominance, we introduce a risk measure that we call shortfall. We examine shortfall’s… (More)
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Highly Cited
2002
Highly Cited
2002
This paper introduces a set of axioms that define convex risk measures. Duality theory provides the representation theorem for… (More)
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Highly Cited
2002
Highly Cited
2002
  • Abaxbank, Corso Monforte
  • 2002
We study a space of coherent risk measuresMφ obtained as certain expansions of coherent elementary basis measures. In this space… (More)
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Highly Cited
2001
Highly Cited
2001
We present a simple model of systemic risk and we show that each financial institution’s contribution to systemic risk can be… (More)
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Highly Cited
2000
Highly Cited
2000
We extend the definition of coherent risk measures, as introduced by Artzner, Delbaen, Eber and Heath, to general probability… (More)
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Highly Cited
1999
Highly Cited
1999
We propose a method for estimating VaR and related risk measures describing the tail of the conditional distribution of a… (More)
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Highly Cited
1999
Highly Cited
1999
Two methods are frequently used for modeling the choice among uncertain outcomes: stochastic dominance and mean–risk approaches… (More)
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