Journal ArticleDOI
Coherent Measures of Risk
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In this paper, the authors present and justify a set of four desirable properties for measures of risk, and call the measures satisfying these properties "coherent", and demonstrate the universality of scenario-based methods for providing coherent measures.Abstract:
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.read more
Citations
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Journal ArticleDOI
Optimization of conditional value-at-risk
R. T. Rockafellar,S Uryasev +1 more
TL;DR: In this paper, a new approach to optimize or hedging a portfolio of financial instruments to reduce risk is presented and tested on applications, which focuses on minimizing Conditional Value-at-Risk (CVaR) rather than minimizing Value at Risk (VaR), but portfolios with low CVaR necessarily have low VaR as well.
Journal ArticleDOI
Conditional value-at-risk for general loss distributions
TL;DR: Fundamental properties of conditional value-at-risk are derived for loss distributions in finance that can involve discreetness and provides optimization shortcuts which, through linear programming techniques, make practical many large-scale calculations that could otherwise be out of reach.
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Modeling and Forecasting Realized Volatility
TL;DR: In this article, the authors provide a general framework for integration of high-frequency intraday data into the measurement, modeling and forecasting of daily and lower frequency volatility and return distributions.
Journal ArticleDOI
Modeling and forecasting realized volatility
TL;DR: In this article, the authors provide a general framework for integration of high-frequency intraday data into the measurement, modeling, and forecasting of daily and lower frequency volatility and return distributions.
Book
Quantitative Risk Management: Concepts, Techniques, and Tools
TL;DR: The most comprehensive treatment of the theoretical concepts and modelling techniques of quantitative risk management can be found in this paper, where the authors describe the latest advances in the field, including market, credit and operational risk modelling.
References
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Book
Theory of rational option pricing
TL;DR: In this paper, the authors deduced a set of restrictions on option pricing formulas from the assumption that investors prefer more to less, which are necessary conditions for a formula to be consistent with a rational pricing theory.
Journal ArticleDOI
An Overview of Value at Risk
Darrell Duffie,Jun Pan +1 more
TL;DR: In this article, a broad and accessible overview of models of value at risk (WR), a popular measure o f the market risk of a financial firm's book, the list of positions in various instruments that expose the firm to financial risk, is presented.
Journal ArticleDOI
Rethinking risk management
TL;DR: The authors argued that the primary goal of risk management is not to dampen swings in corporate cash flows or value, but rather to provide protection against the possibility of costly lower-tail outcomes, situations that would cause financial distress or make a company unable to carry out its investment strategy.
Book
Beyond Value at Risk: The New Science of Risk Management
TL;DR: Beyond Value at Risk as discussed by the authors provides a comprehensive guide to recent developments and existing approaches to value at risk and risk management, going beyond traditional approaches to the subject and offering a new, far-reaching perspective on investment, hedging and portfolio decision-making.