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¶
2 citations across 2 artifacts.
Each citation links to the sentence it supports in the citing article.
Mechanisms¶
- Expected Shortfall Dashboard
- Its strength is that it reports a number sensitive to how bad the worst cases are, and it is coherent in a way VaR is not — combining two exposures never makes measured risk look larger than the parts, so it does not punish diversification.
This sourceTreats expected shortfall as a tail-sensitive coherent risk measure whose subadditivity prevents diversification from increasing measured aggregate risk beyond the sum of its parts.
- Its strength is that it reports a number sensitive to how bad the worst cases are, and it is coherent in a way VaR is not — combining two exposures never makes measured risk look larger than the parts, so it does not punish diversification.
- 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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Does it back the claim? Not recorded. Neither this nor any other of the 2 citations of this work carries a recorded support check.
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