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Filtering by: Creator Vadim Lesnevski Resource type Dissertation

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Simulation of Coherent Risk Measures Based on Generalized Scenarios

Description:

In financial risk management, coherent risk measures have been proposed as a way to avoid undesirable properties of measures such as value at risk that discourage diversification and do not account for the magnitude of the largest, and therefore most serious, losses. A coherent risk measure equals the maximum expected...

Keyword:

generalized scenarios, simulation, ranking and selection, coherent risk measures, value-at-risk, and risk management

Subject:

Industrial Engineering and Management Sciences

Creator:

Vadim Lesnevski

Owner:

Scholarly Digital Publishing

Date Uploaded:

05/10/2018

Date Modified:

05/10/2018

Date Created:

2006-12-05

Resource Type:

Dissertation