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Comparative Study Of Risk Measures

There is a little doubt that, for a decade, risk measurement has become one of the most important topics in
finance. Indeed, it is natural to observe such a development, since in the last ten years, huge amounts of
financial transactions ended with severe losses due to severe convulsions in financial markets. Value at risk, as
the most widely used risk measure, fails to quantify the risk of a position accurately in many situations. For
this reason a number of consistent risk measures have been introduced in the literature. The main aim of this
study is to present and compare coherent, convex, conditional convex and some other risk measures both in
theoretical and practical settings.

Identiferoai:union.ndltd.org:METU/oai:etd.lib.metu.edu.tr:http://etd.lib.metu.edu.tr/upload/12606501/index.pdf
Date01 August 2005
CreatorsEksi, Zehra
ContributorsKorezlioglu, Hayri
PublisherMETU
Source SetsMiddle East Technical Univ.
LanguageEnglish
Detected LanguageEnglish
TypeM.S. Thesis
Formattext/pdf
RightsTo liberate the content for public access

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