Liquidity Risk Theory and Coherent Measures of Risk

2007 ◽  
Author(s):  
Carlo Acerbi ◽  
Giacomo Scandolo
Keyword(s):  
Liquidity Risk ◽  
Risk Theory ◽  
Coherent Measures Of Risk ◽  
Measures Of Risk

Liquidity risk theory and coherent measures of risk

2008 ◽  
Vol 8 (7) ◽  
pp. 681-692 ◽  
Author(s):  
Carlo Acerbi ◽  
Giacomo Scandolo§
Keyword(s):  
Liquidity Risk ◽  
Risk Theory ◽  
Coherent Measures Of Risk ◽  
Measures Of Risk

scholarly journals On the Impossibility of Fair Risk Allocation

2016 ◽  
Vol 16 (1) ◽  
pp. 143-158 ◽  
Author(s):  
Péter Csóka ◽  
Miklós Pintér
Keyword(s):  
Performance Evaluation ◽  
Financial Risk ◽  
Capital Allocation ◽  
Equal Treatment ◽  
Insurance Companies ◽  
Strong Monotonicity ◽  
Risk Allocation ◽  
Investment Funds ◽  
Coherent Measures Of Risk ◽  
Measures Of Risk

AbstractAllocating risk properly to subunits is crucial for performance evaluation and internal capital allocation of portfolios held by banks, insurance companies, investment funds and other entities subject to financial risk. We show that by using coherent measures of risk it is impossible to allocate risk satisfying simultaneously the natural game theoretical requirements of Core Compatibility and Strong Monotonicity. To obtain the result we characterize the Shapley value on the class of totally balanced games and also on the class of exact games as being the only risk allocation method satisfying Strong Monotonicity, Equal Treatment Property and Efficiency. Moreover, we clarify and interpret the related game theoretical requirements that have appeared in the literature so far and have been applied to risk allocation.

A Multiproduct Risk-Averse Newsvendor with Law-Invariant Coherent Measures of Risk

2011 ◽  
Vol 59 (2) ◽  
pp. 346-364 ◽  
Author(s):  
Sungyong Choi ◽  
Andrzej Ruszczyński ◽  
Yao Zhao
Keyword(s):  
Risk Averse ◽  
Coherent Measures Of Risk ◽  
Measures Of Risk

Coherent Measures of Risk

2002 ◽  
pp. 145-175 ◽  
Author(s):  
Philippe Artzner ◽  
Freddy Delbaen ◽  
Jean-Marc Eber ◽  
David Heath
Keyword(s):  
Coherent Measures Of Risk ◽  
Measures Of Risk

scholarly journals Quadratic two-stage stochastic optimization with coherent measures of risk

2017 ◽  
Vol 168 (1-2) ◽  
pp. 599-613 ◽  
Author(s):  
Jie Sun ◽  
Li-Zhi Liao ◽  
Brian Rodrigues
Keyword(s):  
Stochastic Optimization ◽  
Two Stage ◽  
Coherent Measures Of Risk ◽  
Measures Of Risk
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