메뉴 건너뛰기




Volumn 7, Issue 4, 2007, Pages 359-364

Coherent measures of risk in everyday market practice

Author keywords

[No Author keywords available]

Indexed keywords


EID: 34548323990     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/14697680701461590     Document Type: Article
Times cited : (26)

References (14)
  • 1
    • 0036071567 scopus 로고    scopus 로고
    • Spectral measures of risk: A coherent representation of subjective risk aversion
    • Acerbi, C., Spectral measures of risk: a coherent representation of subjective risk aversion. J. Bank. Finance, 2002, 26, 1505-1518.
    • (2002) J. Bank. Finance , vol.26 , pp. 1505-1518
    • Acerbi, C.1
  • 2
    • 12444315647 scopus 로고    scopus 로고
    • Coherent representations of subjective risk aversion
    • edited by G. Szego, Wiley: New York
    • Acerbi, C., Coherent representations of subjective risk aversion. In Risk Measures for the XXI Century, edited by G. Szego, 2003 (Wiley: New York).
    • (2003) Risk Measures for the XXI Century
    • Acerbi, C.1
  • 4
    • 0036077584 scopus 로고    scopus 로고
    • On the coherence of expected shortfall
    • Acerbi, C. and Tasche, D., On the coherence of expected shortfall, J. Bank. Finance, 2002a, 26, 1487-1503.
    • (2002) J. Bank. Finance , vol.26 , pp. 1487-1503
    • Acerbi, C.1    Tasche, D.2
  • 5
    • 0036085062 scopus 로고    scopus 로고
    • Expected shortfall: A natural coherent alternative to value at risk
    • Acerbi, C. and Tasche, D., Expected shortfall: a natural coherent alternative to value at risk, Econ. Notes, 2002b, 31(2), 379-388.
    • (2002) Econ. Notes , vol.31 , Issue.2 , pp. 379-388
    • Acerbi, C.1    Tasche, D.2
  • 8
    • 34548296241 scopus 로고    scopus 로고
    • Delbaen, F., Coherent risk measures on general probability spaces. Preprint, 2000 (ETH Zürich).
    • Delbaen, F., Coherent risk measures on general probability spaces. Preprint, 2000 (ETH Zürich).
  • 10
    • 0001862354 scopus 로고    scopus 로고
    • On law invariant coherent risk measures
    • Kusuoka, S., On law invariant coherent risk measures. Adv. Math. Econ., 2001, 3, 83-95.
    • (2001) Adv. Math. Econ , vol.3 , pp. 83-95
    • Kusuoka, S.1
  • 11
    • 0003221224 scopus 로고    scopus 로고
    • Some remarks on the value-at-risk and the conditional value-at-risk
    • edited by S. Uryasev, Kluwer Academic Publishers: Dordrecht
    • Pflug, G., Some remarks on the value-at-risk and the conditional value-at-risk. In Probabilistic Constrained Optimization: Methodology and Applications, edited by S. Uryasev, 2000 (Kluwer Academic Publishers: Dordrecht).
    • (2000) Probabilistic Constrained Optimization: Methodology and Applications
    • Pflug, G.1
  • 12
    • 0002062038 scopus 로고    scopus 로고
    • Optimization of conditional value-at-risk
    • Rockafellar, R.T. and Uryasev, S., Optimization of conditional value-at-risk. J. Risk, 2000, 2(3), 21-41.
    • (2000) J. Risk , vol.2 , Issue.3 , pp. 21-41
    • Rockafellar, R.T.1    Uryasev, S.2
  • 13
    • 0036076694 scopus 로고    scopus 로고
    • Conditional value-at-risk for general loss distributions
    • Rockafellar, R.T. and Uryasev, S., Conditional value-at-risk for general loss distributions. J. Bank. Finance, 2002, 26(7), 1443-1471.
    • (2002) J. Bank. Finance , vol.26 , Issue.7 , pp. 1443-1471
    • Rockafellar, R.T.1    Uryasev, S.2
  • 14
    • 85011528623 scopus 로고    scopus 로고
    • Premium calculation by transforming the layer premium density
    • Wang, S., Premium calculation by transforming the layer premium density. Astin Bull., 1996, 26, 71-92.
    • (1996) Astin Bull , vol.26 , pp. 71-92
    • Wang, S.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.