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.
| Identifer | oai:union.ndltd.org:METU/oai:etd.lib.metu.edu.tr:http://etd.lib.metu.edu.tr/upload/12606501/index.pdf |
| Date | 01 August 2005 |
| Creators | Eksi, Zehra |
| Contributors | Korezlioglu, Hayri |
| Publisher | METU |
| Source Sets | Middle East Technical Univ. |
| Language | English |
| Detected Language | English |
| Type | M.S. Thesis |
| Format | text/pdf |
| Rights | To liberate the content for public access |
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