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What is the Best Risk Measure in Practice? A Comparison of Standard Measures · Study

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PreprintWhat is the Best Risk Measure in Practice? A Comparison of Standard Measures

Susanne Emmer2013

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Preprintgreen2013

What is the Best Risk Measure in Practice? A Comparison of Standard Measures

Susanne Emmer · Dirk Tasche · Marie F. Kratz

85 citations·0/0 files stored·SSRN Electronic Journal

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Risk and Portfolio Optimization Financial Risk and Volatility Modeling Probability and Risk Models

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References

1952PORTFOLIO SELECTION*1999Coherent Measures of Risk 2007Strictly Proper Scoring Rules, Prediction, and Estimation 1997Modelling Extremal Events 1994Modelling of extremal events in insurance and finance 2002Correlation and Dependence in Risk Management: Properties and Pitfalls 2000Forecasting Economic Time Series 2002On the coherence of expected shortfall

Cited by

2018Characterization, Robustness and Aggregation of Signed Choquet Integrals 2017Robust and Pareto optimality of insurance contracts 2015Risk measures with the CxLS property 2015The Axiomatic Approach to Risk Measures for Capital Determination 2016Quantifying market risk with Value-at-Risk or Expected Shortfall? – Consequences for capital requirements and model risk 2017Risk bounds for factor models 2017

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Details

Year2013

Typepreprint

Published2013-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations85

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.2139/ssrn.2370378

openalex_workW2109588405

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