Construct · 1 fields · 1 citations

coherent risk measure: a standalone construct

One name. One construct. A landmark on the map.

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coherentrisk measure1 CONSTRUCTCoherent risk measureARTZNER · FINANCE

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Finance

a risk measure satisfying axioms such as subadditivity, so pooling positions never appears to raise risk.

In finance, coherent risk measure refers to a risk measure satisfying axioms such as subadditivity, so pooling positions never appears to raise risk. This meaning comes from Artzner (1999) in Mathematical Finance.[1]

Unit
Recovery means
Measured by

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Nearby constructs

expected shortfall1 fields · 1 citationsanchor · a standalone constructmeasure2 fields · 4 citationsjingle · one word, two constructspooling3 fields · 5 citationsjingle · one word, three constructs

References

  1. Artzner, P., Delbaen, F., Eber, J., & Heath, D. (1999). Coherent Measures of Risk. Mathematical Finance, 9(3), 203-228. https://doi.org/10.1111/1467-9965.00068

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