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Spectral risk measure
A Spectral risk measure is a risk measure given as a weighted average of outcomes where bad outcomes are, typically, included with larger weights. A…
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Related topics
Related topics
5 relations
Coherent risk measure
Distortion risk measure
Expected shortfall
Risk aversion
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Papers overview
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2017
2017
On Quantile Risk Measures and Their Domain
S. Fuchs
,
Ruben Schlotter
,
Klaus D. Schmidt
2017
Corpus ID: 119300313
In the present paper we study quantile risk measures and their domain. Our starting point is that, for a probability measure $ Q…
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2013
2013
First and Second-order Asymptotics for Operational Risk Based on a Spectral Risk Measure
Wen-Hua Lv
2013
Corpus ID: 123049882
Spectral risk measures (SRMs) was first introduced by Acerbi (2002), which take account of risk aversion of a decision maker. In…
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2012
2012
A portfolio optimization model under the conditions of market friction based on spectral risk measure
Yong Yang
2012
Corpus ID: 63242385
This paper describes the design and formulation of a logarithmic risk spectrum,and the construction of the spectral risk measure…
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2012
2012
Study on Spectral Risk Measure in Stochastic Capacity Planning Problem
Lankang Zhang
2012
Corpus ID: 62373616
2011
2011
The research of setting stock index futures' margin based on spectral risk measure
Wen-Long Wang
,
Xi-Jun Cheng
2011
Corpus ID: 156284297
The contract of Hushen 300 index futures was listed on 2010-04-16.In the process of index futures' exchange,the key point of risk…
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2007
2007
Validating the backtests of risk measures
J. Cotter
,
Yang-Ping Zhong
2007
Corpus ID: 55090605
Paper presented at INFINITI Conference on International Finance 11-12 June 2007, Trinity College Dublin. Also presented at…
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