A Probability Metrics Approach to Financial Risk Measures

Svetlozar T. Rachev · Stoyan Veselinov Stoyanov · Frank J. Fabozzi

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

Abstract

All of these questions are essential to finance and they have one feature in common: measuring distances between random quantities. Problems of this kind have been explored for many years in areas other than finance. In A Probability Metrics Approach to Financial Risk Measures, the field of probability metrics and risk measures are related to one another and applied to finance for the first time, revealing groundbreaking new classes of risk measures, finding new relations between existing classes of risk measures, and providing answers to the question of which risk measure is best for a given problem. Applications include optimal portfolio choice, risk theory, and numerical methods in finance.

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