Coherent Measures of Risk¶
Artzner, P., Delbaen, F., Eber, J., & Heath, D. (1999). Coherent Measures of Risk. Mathematical Finance, 9(3), 203-228.
Cited by¶
1 citation across 1 artifact.
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Mechanisms¶
- Volatility Budget with Loss Limit
- The classic error is a limit that captures ordinary volatility but is blind to the tail: Value-at-Risk-style measures notoriously under-weight the rare, correlated, ruinous move, so the budget can read "green" right up to the loss it was meant to prevent.
This sourceShows that quantile-based risk measures can fail subadditivity and omit the severity of losses beyond the quantile.
- The classic error is a limit that captures ordinary volatility but is blind to the tail: Value-at-Risk-style measures notoriously under-weight the rare, correlated, ruinous move, so the budget can read "green" right up to the loss it was meant to prevent.
Verification¶
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