Coherent and convex measures of risk

Date

2005

Author

Yıldırım, İrem

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One of the financial risks an agent has to deal with is market risk. Market risk is caused by the uncertainty attached to asset values. There exit various measures trying to model market risk. The most widely accepted one is Value-at- Risk. However Value-at-Risk does not encourage portfolio diversification in general, whereas a consistent risk measure has to do so. In this work, risk measures satisfying these consistency conditions are examined within theoretical basis. Different types of coherent and convex risk measures are investigated. Moreover the extension of coherent risk measures to multiperiod settings is discussed.

Subject Keywords

Finance.

URI

http://etd.lib.metu.edu.tr/upload/12606519/index.pdf
https://hdl.handle.net/11511/15411

Collections

Graduate School of Applied Mathematics, Thesis