Measures of risk

被引：77
作者：
Szegö, G [1 ]
机构：
[1] Univ Roma La Sapienza, I-00185 Rome, Italy
来源：
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH | 2005年 / 163卷 / 01期
关键词：
risk measures; scalar co-dependence measures; conditional value-at-risk; expected shortfall; spectral risk measures and acceptable risk weights;
D O I：
10.1016/j.ejor.2003.12.016
中图分类号：
C93 [管理学];
学科分类号：
12 ; 1201 ; 1202 ; 120202 ;
摘要：
The conditions under which the classical measures of risk like the mean, the linear correlation coefficient and VaR can be used are discussed. The definition of risk measure and the main recently proposed risk measures are presented. The problems connected with co-dependence are outlined. (C) 2004 Published by Elsevier B.V.
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页码：5 / 19
页数：15
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