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Coherent Risk Measures

Coherent Risk Measures

Copyright: © 2014 |Pages: 28
ISBN13: 9781466659506|ISBN10: 1466659505|EISBN13: 9781466659513
DOI: 10.4018/978-1-4666-5950-6.ch007
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MLA

Siqiwen Li. "Coherent Risk Measures." Emerging Trends in Smart Banking: Risk Management Under Basel II and III, IGI Global, 2014, pp.115-142. https://doi.org/10.4018/978-1-4666-5950-6.ch007

APA

S. Li (2014). Coherent Risk Measures. IGI Global. https://doi.org/10.4018/978-1-4666-5950-6.ch007

Chicago

Siqiwen Li. "Coherent Risk Measures." In Emerging Trends in Smart Banking: Risk Management Under Basel II and III. Hershey, PA: IGI Global, 2014. https://doi.org/10.4018/978-1-4666-5950-6.ch007

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Abstract

This chapter introduces some alternative risk measures to Vale-At-Risk (VaR) calculations: Extreme Value Theory (EVT), Expected Shortfall (ES) and distortion risk measure. It also discusses their more coherent characteristics useful for shoring up the weaknesses of VaR.

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