Add to ORKGOne of the financial risks an agent has to deal with is market risk. Market risk is caused by the uncertainty attached to asset values. There exit various measures trying to model market risk. The most widely accepted one is Value-at- Risk. However Value-at-Risk does not encourage portfolio diversification in general, whereas a consistent risk measure has to do so. In this work, risk measures satisfying these consistency conditions are examined within theoretical basis. Different types of coherent and convex risk measures are investigated. Moreover the extension of coherent risk measures to multiperiod settings is discussed.M.S. - Master of Scienc
The paper deals with the concept of coherent risk measure, in the sense of Artzner, Delbaen, Eber an...
In this paper we propose a generalization of the concepts of convex and coherent risk measures to a ...
Katedra pravděpodobnosti a matematické statistikyDepartment of Probability and Mathematical Statisti...
The article aims to survey recent advancements in risk management field. First a popular quantile-ba...
In financial markets higher return is associated with higher risk, which is why quantifying the risk...
The main aim of this thesis is to examine risk measures which are used in finance and insurance. Thi...
This thesis focuses on several classes of risk measures, related axioms and properties. We have intr...
In this paper coherent risk measures and other currently used risk measures, notably Value-at-Risk (...
In this thesis we study various risk measures and one of their characteristics - the coherence. We t...
Mjere rizika imaju iznimno važnu ulogu u financijskom svijetu jer omogućuju upravljanje i kontrolira...
Celem niniejszej pracy dyplomowej było przedstawienie definicji i własności koherentnych miar ryzyka...
In this dissertation, we study the application of risk measures to portfolio optimisation. A risk me...
AbstractMonetary measures of risk like Value at Risk or Worst Conditional Expectation assess the ris...
The main topic of the thesis is to study different measures of risk. It is mentioned here fundamenta...
Monetary measures of risk like Value at Risk or Worst Conditional Expectation assess the risk of fin...
The paper deals with the concept of coherent risk measure, in the sense of Artzner, Delbaen, Eber an...
In this paper we propose a generalization of the concepts of convex and coherent risk measures to a ...
Katedra pravděpodobnosti a matematické statistikyDepartment of Probability and Mathematical Statisti...
The article aims to survey recent advancements in risk management field. First a popular quantile-ba...
In financial markets higher return is associated with higher risk, which is why quantifying the risk...
The main aim of this thesis is to examine risk measures which are used in finance and insurance. Thi...
This thesis focuses on several classes of risk measures, related axioms and properties. We have intr...
In this paper coherent risk measures and other currently used risk measures, notably Value-at-Risk (...
In this thesis we study various risk measures and one of their characteristics - the coherence. We t...
Mjere rizika imaju iznimno važnu ulogu u financijskom svijetu jer omogućuju upravljanje i kontrolira...
Celem niniejszej pracy dyplomowej było przedstawienie definicji i własności koherentnych miar ryzyka...
In this dissertation, we study the application of risk measures to portfolio optimisation. A risk me...
AbstractMonetary measures of risk like Value at Risk or Worst Conditional Expectation assess the ris...
The main topic of the thesis is to study different measures of risk. It is mentioned here fundamenta...
Monetary measures of risk like Value at Risk or Worst Conditional Expectation assess the risk of fin...
The paper deals with the concept of coherent risk measure, in the sense of Artzner, Delbaen, Eber an...
In this paper we propose a generalization of the concepts of convex and coherent risk measures to a ...
Katedra pravděpodobnosti a matematické statistikyDepartment of Probability and Mathematical Statisti...