Spectral risk measures: the risk quadrangle and optimal approximation

Exponential Spectral Risk Measures

Spectral risk measures are attractive risk measures as they allow the user to obtain risk measures that reflect their subjective risk-aversion. This paper examines spectral risk measures based on an exponential utility function, and finds that these risk measures have nice intuitive properties. It also discusses how they can be estimated using numerical quadrature methods, and how confidence in...

Spectral Risk Measures and Portfolio Selection. Spectral Risk Measures and Portfolio Selection

This paper deals with risk measurement and portfolio optimization under risk constraints. Firstly we give an overview of risk assessment from the viewpoint of risk theory, focusing on moment-based, distortion and spectral risk measures. We subsequently apply these ideas to an asset management framework using a database of hedge funds returns chosen for their nonGaussian features. We deal with t...

the study of practical and theoretical foundation of credit risk and its coverage

پس از بررسی هر کدام از فاکتورهای نوع صنعت, نوع ضمانت نامه, نرخ بهره , نرخ تورم, ریسک اعتباری کشورها, کارمزد, ریکاوری, gdp, پوشش و وثیقه بر ریسک اعتباری صندوق ضمانت صادرات ایران مشخص گردید که همه فاکتورها به استثنای ریسک اعتباری کشورها و کارمزد بقیه فاکتورها رابطه معناداری با ریسک اعتباری دارند در ضمن نرخ بهره , نرخ تورم, ریکاوری, و نوع صنعت و ریسک کشورها اثر عکس روی ریسک اعتباری داردو پوشش, وثی...

Anthropometric Measures and the Risk of Coronary Artery Disease

Risk Aversion and Coherent Risk Measures: a Spectral Representation Theorem

We study a space of coherent risk measures Mφ obtained as certain expansions of coherent elementary basis measures. In this space, the concept of “Risk Aversion Function” φ naturally arises as the spectral representation of each risk measure in a space of functions of confidence level probabilities. We give necessary and sufficient conditions on φ for Mφ to be a coherent measure. We find in thi...