Coherent risk measurement: an introduction

Emerald - 2002
AndreasKrause1
1Andreas Krause is a Lecturer in Finance at the School of Management, University of Bath, Bath, UK, where he teaches in the areas of financial markets, investment banking and risk management at undergraduate and postgraduate level. His research interests are in asset price dynamics and risk measurement.

Tóm tắt

It is shown that the widely used risk measures standard deviation and value at risk do not always reflect risk preferences accurately. To overcome these problems in risk measurement a class of coherent risk measures has been proposed. We introduce the idea behind these measures and provide an overview of suggested coherent risk measures. Finally it is shown where the limitations of such measures in practical applications are and how regulatory bodies responded to their introduction in the literature. We find that most contributions on coherent risk measurement come from the actuarial sciences and propagate a widening of the discussion among researchers and practitioners in other industries.

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