Abstract
In this paper, we give the axiomatic characterization of risk measures and discuss the treads of developments in this area. The main recently proposed risk measures are presented, and their properties and relations are discussed. The corresponding versions of dynamic risk measure are also briefly introduced.
Volume
6
Page
1-20
Number
1
Year
2004
Keywords
Coherent risk measures; Value-at-Risk; Expected Shortfall
Categories
New Risk Measures
Publications
Advanced Modelling and Optimization
