COHERENCE AND ELICITABILITY
Author:
Affiliation:
1. University of Bern
Publisher
Wiley
Subject
Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/mafi.12080/fullpdf
Reference42 articles.
1. Spectral Measures of Risk: A Coherent Representation of Subjective Risk Aversion;Acerbi;J. Bank. Financ.,2002
2. On the Coherence of Expected Shortfall;Acerbi;J. Bank. Financ.,2002
3. Coherent Measures of Risk;Artzner;Math. Finance,1999
4. Basel Committe on Banking Supervision 2012 Fundamental Review of the Trading Book www.bis.org/publ/bcbs219.htm
5. Bellini , F. V. Bignozzi 2013 Elicitable Risk Measures http://ssrn.com/abstract=2334746
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