A Risk Measure That Goes Beyond Coherence

Abstract

There are more to a risk-measure than being coherent. Both the popular VaR and the coherent Tail-VaR ignore useful information in a large part of the loss distribution; As a result they lack incentive for risk-management. I propose a new coherent risk-measure that utilizes information in the whole loss distribution and provides incentive for risk-management.

Page
01-18
Series
Working Paper
Year
2001
Keywords
Coherent risk measure; VaR; Tail-VaR; Distorted probability
Categories
New Risk Measures
Authors
Wang, S.