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Coherent risk measure
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21	Internal vs. External Risk Measures: How Capital Requirements Differ in Practice Martin Eling and Luisa Tibiletti* August 20, 2008 Abstract: We compare capital requirements derived by tail conditional expectation (TCE) w Add to Reading List Source URL: web.econ.unito.it Language: English - Date: 2008-10-16 05:57:44 Mathematical finance Finance Economics Investment Financial services Tail value at risk Hedge fund Value at risk Coherent risk measure Financial economics Actuarial science Financial risk
22	Consistent updating When can a risk measure be updated consistently? Berend Roorda1 Add to Reading List Source URL: www.fields.utoronto.ca Language: English - Date: 2010-06-18 08:44:46 Financial economics Risk Coherent risk measure Risk measure Entropic risk measure Time consistency Expected value Law of total expectation Financial risk Mathematical finance Applied mathematics
23	Spectral Capital Allocation and Applications Ludger Overbeck University of Giessen , Germany BFS 2010 , Toronto Add to Reading List Source URL: www.fields.utoronto.ca Language: English - Date: 2010-06-18 18:45:45 Spectral risk measure Coherent risk measure Expected shortfall Constructible universe Risk measure Science Knowledge Spectral theory of ordinary differential equations Comonotonicity Financial risk Mathematical finance Mathematics
24	Convex Risk Measures Time consistency Cash (sub)additivity Examples Risk assessment for uncertain cash flows: Add to Reading List Source URL: www.fields.utoronto.ca Language: English - Date: 2010-06-19 11:33:38 Stochastic processes Actuarial science Coherent risk measure Mathematical sciences Dynamic risk measure Applied mathematics Adapted process Financial risk Mathematical finance Statistics
25	Risk Measures in non-dominated Models Magali Kervarec Purpose: Study Risk Measures taking into account the model uncertainty in mathematical finance. Add to Reading List Source URL: www.fields.utoronto.ca Language: English - Date: 2010-06-19 15:40:08 Actuarial science Financial economics Mathematical sciences Game theory Martingale Martingale theory Risk Coherent risk measure Black–Scholes Statistics Stochastic processes Mathematical finance
26	Dynamic Coherent Acceptability Indices Add to Reading List Source URL: www.fields.utoronto.ca Language: English - Date: 2010-06-21 10:59:16 Mathematics Applied mathematics Ordinal number Coherent risk measure Constructible universe
27	Optimal Dynamic Trading Strategies with Risk Limits Domenico CUOCO The Wharton School, University of Pennsylvania Hua HE Add to Reading List Source URL: www.swissfinanceinstitute.ch Language: English - Date: 2005-12-06 10:39:13 Financial economics Applied mathematics Risk Value at risk RiskMetrics Coherent risk measure Risk measure Variance Tail value at risk Financial risk Actuarial science Mathematical finance
28	The Problem Decoupling Examples Portfolio insurance under risk-measure constraint Add to Reading List Source URL: www.fields.utoronto.ca Language: English - Date: 2010-06-19 15:36:53 Coherent risk measure Decoupling Risk measure Mathematical optimization Financial economics Mathematical sciences Risk Financial risk Mathematical finance Actuarial science
29	SOME COMMENTS ON "FUNDAMENTAL REVIEW OF THE TRADING BOOK" PHILIPPE ARTZNER† , FREDDY DELBAEN‡ , AND KARL-THEODOR EISELE† With the document "Fundamental review of the trading book" the Basel Committee on Banking Sup Add to Reading List Source URL: www.bis.org Language: English - Date: 2012-09-25 10:21:00 Financial economics Actuarial science Financial regulation Expected shortfall Coherent risk measure Basel II Value at risk Time consistency Dynamic risk measure Financial risk Mathematical finance Risk
30	Math. Program., Ser. B 108, 515–[removed]Digital Object Identifier (DOI[removed]s10107[removed]R. Tyrrell Rockafellar · Stan Uryasev · Michael Zabarankin Optimality conditions in portfolio analysis with genera Add to Reading List Source URL: www.ise.ufl.edu Language: English - Date: 2013-06-15 17:47:17 Mathematical sciences Actuarial science Coherent risk measure Risk measure Expected shortfall Standard deviation Absolute deviation Moment Lp space Statistics Financial risk Mathematical finance

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