The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
Coherent Measures of Risk
Open accessAbstract
In this paper we study both market risks and nonmarket risks, without complete markets assumption, and discuss methods of measurement of these risks. We present and justify a set of four desirable properties for measures of risk, and call the measures satisfying these properties “coherent.” We examine the measures of risk provided and the related actions required by SPAN, by the SEC/NASD rules, and by quantile‐based methods. We demonstrate the universality of scenario‐based methods for providing coherent measures. We offer suggestions concerning the SEC method. We also suggest a method to repair the failure of subadditivity of quantile‐based methods.
Overview
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Integrity signals
Registry
Cites
Statistics
Verification
Claims the paper makes
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Self-check
Percentages, sums and reported differences re-computed from the paper’s own numbers.
The self-check needs the paper’s full text.
Citations
Cites
Embrechts, P., Klüppelberg, C., & Mikosch, T. (1997) · doi:10.1007/978-3-642-33483-2 · Cited by 4,402
Cited by
What's Wrong with Risk Matrices?
Anthony (Tony)Cox, L. (2008) · Risk Analysis · doi:10.1111/j.1539-6924.2008.01030.x · Cited by 704
Quantile cointegrating regression
Xiao, Z. (2009) · Journal of Econometrics · doi:10.1016/j.jeconom.2008.12.005 · Cited by 431
AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT
Ben‐Tal, A., & Teboulle, M. (2007) · Mathematical Finance · doi:10.1111/j.1467-9965.2007.00311.x · Cited by 353
DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
CHEKHLOV, A., URYASEV, S., & ZABARANKIN, M. (2005) · International Journal of Theoretical and Applied Finance · doi:10.1142/s0219024905002767 · Cited by 350
Robust and Data-Driven Optimization: Modern Decision Making Under Uncertainty
Bertsimas, D., & Thiele, A. (2006) · Models, Methods, and Applications for Innovative Decision Making · doi:10.1287/educ.1063.0022 · Cited by 280
The role of bitcoin in well diversified portfolios: A comparative global study
Kajtazi, A., & Moro, A. (2019) · International Review of Financial Analysis · doi:10.1016/j.irfa.2018.10.003 · Cited by 271
Artificial Intelligence risk measurement
Giudici, P., Centurelli, M., & Turchetta, S. (2024) · Expert Systems with Applications · doi:10.1016/j.eswa.2023.121220 · Cited by 181
Theory and applications of robust optimization
Bertsimas, D., Brown, D. B., & Caramanis, C. (2011) · SIAM Review · doi:10.1137/080734510 · Cited by 134
Carbon neutrality: The role of banks in optimal environmental management strategies
Chaudhry, S. M., Saeed, A., & Ahmed, R. (2021) · Journal of Environmental Management · doi:10.1016/j.jenvman.2021.113545 · Cited by 33
Problems with Risk Matrices Using Ordinal Scales
Krisper, M. (2021) · arXiv · doi:10.48550/arxiv.2103.05440 · Cited by 26
A liability-relative drawdown approach to pension asset liability management
Berkelaar, A., & Kouwenberg, R. (2010) · Journal of Asset Management · doi:10.1057/jam.2010.13 · Cited by 21
Device Heterogeneity in Federated Learning: A Superquantile Approach
Laguel, Y., Pillutla, K., Malick, J., & Harchaoui, Z. (2020) · arXiv · doi:10.48550/arxiv.2002.11223 · Cited by 15
QUANTITATIVE RISK ASSESSMENT OF MEGA REAL ESTATE PROJECTS: A MONTE CARLO SIMULATION APPROACH
Chief Executive Officer (CEO), G. H. L. (. G., & Jahid, M. S. R. (2022) · Journal of Sustainable Development and Policy · doi:10.63125/nh269421 · Cited by 3
Metadata
- Authors
- Artzner, P., Delbaen, F., Eber, J., & Heath, D.
- Venue
- Mathematical Finance
- Publisher
- Wiley
- Published
- 1999-07
- Volume
- 9
- Issue
- 3
- Pages
- 203-228
- ISSN
- 0960-1627 (ISSN-L)
- 1467-9965
- OpenAlex
- W2019291268
- Cited by
- 8,806
- References
- 1
- FWCI
- 106.16
- Type
- journal article
- Language
- en
- Open access
- bronze
About these checks
Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.
Statistics and arithmetic are recomputed, not judged.
Confidence bands are shown only for fields calibrated on our annotated test set. None is calibrated yet, so no band is shown.
What counts as a claim ›How we measure confidence ›How we check this ›
Are you an author, or do you see a problem with this page? Request a review
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
