Coherent Measures of Risk. Artzner, P.; Delbaen, F.; Eber, J.; and Heath, D. Mathematical Finance, 9:203--228, 1999.
abstract   bibtex   
In this paper we study both market risks and nonmarket risks, without complete markets assumption, and discuss methods of measurement of these risks. We present and justify a set of four desirable properties for measures of risk, and call the measures satisfying these properties “coherent.” We examine the measures of risk provided and the related actions required by SPAN, by the SEC/NASD rules, and by quantile-based methods. We demonstrate the universality of scenario-based methods for providing coherent measures. We offer suggestions concerning the SEC method. We also suggest a method to repair the failure of subadditivity of quantile-based methods.
@article{Artzner1999,
abstract = {In this paper we study both market risks and nonmarket risks, without complete markets assumption, and discuss methods of measurement of these risks. We present and justify a set of four desirable properties for measures of risk, and call the measures satisfying these properties “coherent.” We examine the measures of risk provided and the related actions required by SPAN, by the SEC/NASD rules, and by quantile-based methods. We demonstrate the universality of scenario-based methods for providing coherent measures. We offer suggestions concerning the SEC method. We also suggest a method to repair the failure of subadditivity of quantile-based methods.},
author = {Artzner, P. and Delbaen, F. and Eber, J-M. and Heath, D.},
file = {:Users/hykel/Documents/library/Artzner et al/Artzner et al. - 1999 - Coherent Measures of Risk.pdf:pdf},
isbn = {1467-9965},
journal = {Mathematical Finance},
keywords = {BSDE,Definicion riesgo,FINANCE,Finance,Folder - 1\_Offen,MA Thesis,MARKET equilibrium,MARKETS,Medium low,RISK,Requirements,Risk,Risk Measure,Risk Measurement,SET theory,Uncertainty,VaR,aggregation of risks,butterfly,capital requirement,coherence,coherent measure,coherent risk measure,concentration of risks,currency risk,decentralization,extremal events risk,finance,gefunden,hcit,insurance risk,margin requirement,market risk,mean excess function,measure of risk,model risk,net worth,p02192,quantile,risk,risk management,risk measure,risk measures,risk sensitive,risk-based capital,risk-measures,rm,scenario,shortfall,subadditivity,tail value at risk,value at risk},
mendeley-tags = {BSDE,Definicion riesgo,FINANCE,Finance,Folder - 1\_Offen,MA Thesis,MARKET equilibrium,MARKETS,Medium low,RISK,Requirements,Risk,Risk Measure,Risk Measurement,SET theory,Uncertainty,VaR,aggregation of risks,butterfly,capital requirement,coherence,coherent measure,coherent risk measure,concentration of risks,currency risk,decentralization,extremal events risk,finance,gefunden,hcit,insurance risk,margin requirement,market risk,mean excess function,measure of risk,model risk,net worth,p02192,quantile,risk,risk management,risk measure,risk measures,risk sensitive,risk-based capital,risk-measures,rm,scenario,shortfall,subadditivity,tail value at risk,value at risk},
pages = {203--228},
title = {{Coherent Measures of Risk}},
volume = {9},
year = {1999}
}
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