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Comparative study of risk measures
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Date
2005
Author
Ekşi, Zehra
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There is a little doubt that, for a decade, risk measurement has become one of the most important topics in finance. Indeed, it is natural to observe such a development, since in the last ten years, huge amounts of financial transactions ended with severe losses due to severe convulsions in financial markets. Value at risk, as the most widely used risk measure, fails to quantify the risk of a position accurately in many situations. For this reason a number of consistent risk measures have been introduced in the literature. The main aim of this study is to present and compare coherent, convex, conditional convex and some other risk measures both in theoretical and practical settings.
Subject Keywords
Finance.
URI
http://etd.lib.metu.edu.tr/upload/12606501/index.pdf
https://hdl.handle.net/11511/15365
Collections
Graduate School of Applied Mathematics, Thesis
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Z. Ekşi, “Comparative study of risk measures,” M.S. - Master of Science, Middle East Technical University, 2005.