Journal
JOURNAL OF BANKING & FINANCE
Volume 26, Issue 7, Pages 1253-1272Publisher
ELSEVIER SCIENCE BV
DOI: 10.1016/S0378-4266(02)00262-5
Keywords
risk measures; scalar co-dependence measures; conditional value-at risk; expected shortfall; spectral risk measures and acceptable risk weights
Categories
Ask authors/readers for more resources
The conditions under which the classical measures of risk like the mean, the linear correlation coefficient and VaR can be used are discussed. The definition of risk measure and the main recently proposed risk measures are presented. The problems connected with co-dependence are outlined. (C) 2002 Published by Elsevier Science B.V.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available
Share Paper
