期刊
JOURNAL OF BANKING & FINANCE
卷 26, 期 7, 页码 1253-1272出版社
ELSEVIER SCIENCE BV
DOI: 10.1016/S0378-4266(02)00262-5
关键词
risk measures; scalar co-dependence measures; conditional value-at risk; expected shortfall; spectral risk measures and acceptable risk weights
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.
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