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Coherent Measures of Risk
David Heath / Freddy Delbaen / Jean-Marc Eber / Philippe Artzner
Coherent Risk Measures / Expected ShortfallResource overview

Coherent Measures of Risk

Paper1998

by David Heath, Freddy Delbaen, Jean-Marc Eber, Philippe Artzner

Tags
Coherent Risk MeasuresExpected ShortfallFinancial RegulationMathematical FinanceRisk AggregationValue at Risk

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  1. Random Variables and Distributions

    Read the distributions and expectations used in probabilistic arguments.

  2. Expected Shortfall and Other Tail Risk Measures

    Distinguish a loss quantile from the average loss in the tail.

  3. Conditional Expectation

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  1. VaR Estimation in Practice: Variance-Covariance, Historical Simulation, Monte Carlo

    Compare risk estimators and their assumptions.

  2. Backtesting VaR and ES: Coverage Tests and Model Validation

    Check forecasts against realised losses.

  3. Confidence Intervals and Hypothesis Testing

    Assess uncertainty rather than treating an estimate as a fact.

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