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Coherent And Convex Measures Of Risk

One of the financial risks an agent has to deal with is market risk. Market risk is caused by the uncertainty attached to asset values. There exit various measures trying to model market risk. The most widely accepted one is Value-at-
Risk. However Value-at-Risk does not encourage portfolio diversification in general, whereas a consistent risk measure has to do so. In this work, risk measures satisfying these consistency conditions are examined within theoretical
basis. Different types of coherent and convex risk measures are investigated. Moreover the extension of coherent risk measures to multiperiod settings is discussed.

Identiferoai:union.ndltd.org:METU/oai:etd.lib.metu.edu.tr:http://etd.lib.metu.edu.tr/upload/12606519/index.pdf
Date01 September 2005
CreatorsYildirim, Irem
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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