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Journal of Financial Services Research
Volumn 34, Issue 1, 2008, Pages 61-75
Spectral risk measures: Properties and limitations
Author keywords

Coherent risk measures; Exponential utility; Power utility; Spectral risk measures
Indexed keywords

EID: 46749121706     PISSN: 09208550     EISSN: None     Source Type: Journal    
DOI: 10.1007/s10693-008-0035-6     Document Type: Article
Times cited : (69)
References (14)
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  • 5
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    • Shortfall as a risk measure: Properties, optimization and applications
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    • Bertsimas, D.1    Lauprete, G.J.2    Samarov, A.3
  • 6
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    • An economic premium principle
    • Buhlmann H (1980) An economic premium principle. ASTIN Bull 11:52-60
    • (1980) ASTIN Bull , vol.11 , pp. 52-60
    • Buhlmann, H.1
  • 7
    • 33750848766 scopus 로고    scopus 로고
    • Extreme spectral risk measures: An application to futures clearinghouse margin requirements
    • Cotter J, Dowd K (2006) Extreme spectral risk measures: an application to futures clearinghouse margin requirements. J Bank Finance 30:3469-3485
    • (2006) J Bank Finance , vol.30 , pp. 3469-3485
    • Cotter, J.1    Dowd, K.2
  • 10
    • 33744783280 scopus 로고    scopus 로고
    • Upgrading value-at-risk from diagnostic metric to decision variable: A wise thing to do?
    • Wiley New York
    • Grootveld H, Hallerbach WG (2004) Upgrading value-at-risk from diagnostic metric to decision variable: a wise thing to do? In: Szegö G (ed) Risk measures for the 21st century. Wiley, New York, pp 33-50
    • (2004) Risk Measures for the 21st Century , pp. 33-50
    • Grootveld, H.1    Hallerbach, W.G.2    Szegö, G.3
  • 12
    • 77953779923 scopus 로고    scopus 로고
    • Spectral capital allocation
    • Risk Books London
    • Overbeck L (2004) Spectral capital allocation. In: Das A (ed) Capital allocation. Risk Books, London
    • (2004) Capital Allocation
    • Overbeck, L.1    Das, A.2
  • 13
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    • Measures of risk
    • Szegö G (2002) Measures of risk. J Bank Finance 26:1253-1272
    • (2002) J Bank Finance , vol.26 , pp. 1253-1272
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  • 14
    • 85011436963 scopus 로고    scopus 로고
    • Equilibrium pricing transforms: New results using Buhlmann's 1990 economic model
    • Wang SS (2003) Equilibrium pricing transforms: new results using Buhlmann's 1990 economic model. ASTIN Bull 33:57-73
    • (2003) ASTIN Bull , vol.33 , pp. 57-73
    • Wang, S.S.1

* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.