Construct · 1 fields · 1 citations

spectral risk measure: a standalone construct

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

● anchor · a standalone construct Nearest construct by meaning·not indexed
spectralrisk measure1 CONSTRUCTSpectral risk measureACERBI · RISK MANAGEMENT

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Risk management

coherent risk measure formed as a weighted average of loss quantiles, with weights expressing the user's aversion to risk.

In risk management, spectral risk measure refers to coherent risk measure formed as a weighted average of loss quantiles, with weights expressing the user's aversion to risk. This meaning comes from Acerbi (2002) in Journal of Banking & Finance.[1]

Unit
Recovery means
Measured by

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Nearby constructs

coherent risk measure1 fields · 1 citationsanchor · a standalone constructloss2 fields · 3 citationsjingle · one word, two constructsmeasure2 fields · 4 citationsjingle · one word, two constructs

References

  1. Acerbi, C. (2002). Spectral measures of risk: A coherent representation of subjective risk aversion. Journal of Banking & Finance, 26(7), 1505-1518. https://doi.org/10.1016/s0378-4266(02)00281-9

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