Title: The Equipollent Theorem on Risk Measure: Tail Conditional Expectation,Worst Conditional Expectation, Expected Shortfall
Abstract:Risk management is one of the top priorities in the financial industry today. The research of quantitating risk is one of risk management's center. From variance-covariance, value-at-risk to condition...Risk management is one of the top priorities in the financial industry today. The research of quantitating risk is one of risk management's center. From variance-covariance, value-at-risk to conditional risk measures (conditional value at risk, tail conditional expectation, worst conditional expectation, expected shortfall), they have be gradually accepted and applied to financial industry and non-financial industry. This paper research relations among conditional risk measures and present a necessary and sufficient condition on equivalency among them.Read More
Publication Year: 2003
Publication Date: 2003-01-01
Language: en
Type: article
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