scholarly journals Allocation of risk capital based on iso-entropic coherent risk measure

2015 ◽  
Vol 8 (2) ◽  
Author(s):  
Chengli Zheng ◽  
Yan Chen
Keyword(s):  
Risk Measure ◽  
Coherent Risk Measure ◽  
Risk Capital ◽  
Coherent Risk

Modified expected shortfall: a new robust coherent risk measure

2013 ◽  
Vol 16 (1) ◽  
pp. 69-83 ◽  
Author(s):  
Deepak Jadhav ◽  
T. V. Ramanathan ◽  
U. V. Naik-Nimbalkar
Keyword(s):  
Risk Measure ◽  
Expected Shortfall ◽  
Coherent Risk Measure ◽  
Coherent Risk

A trade execution model under a composite dynamic coherent risk measure

2015 ◽  
Vol 43 (1) ◽  
pp. 52-58 ◽  
Author(s):  
Qihang Lin ◽  
Xi Chen ◽  
Javier Peña
Keyword(s):  
Risk Measure ◽  
Coherent Risk Measure ◽  
Coherent Risk ◽  
Execution Model

scholarly journals VECTOR-VALUED COHERENT RISK MEASURE PROCESSES

2014 ◽  
Vol 17 (02) ◽  
pp. 1450011 ◽  
Author(s):  
IMEN BEN TAHAR ◽  
EMMANUEL LÉPINETTE
Keyword(s):  
Continuous Time ◽  
Risk Measures ◽  
Risk Measure ◽  
Time Consistency ◽  
Axiomatic Characterization ◽  
Coherent Risk Measure ◽  
Coherent Risk ◽  
Dynamic Version ◽  
Vector Valued

Introduced by Artzner et al. (1998) the axiomatic characterization of a static coherent risk measure was extended by Jouini et al. (2004) in a multi-dimensional setting to the concept of vector-valued risk measures. In this paper, we propose a dynamic version of the vector-valued risk measures in a continuous-time framework. Particular attention is devoted to the choice of a convenient risk space. We provide dual characterization results, we study different notions of time consistency and we give examples of vector-valued risk measure processes.

A generalized coherent risk measure: The firm's perspective

2005 ◽  
Vol 2 (1) ◽  
pp. 23-29 ◽  
Author(s):  
Robert A. Jarrow ◽  
Amiyatosh K. Purnanandam
Keyword(s):  
Risk Measure ◽  
Coherent Risk Measure ◽  
Coherent Risk
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