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Risk Measures in Quantitative Finance

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  • Sovan Mitra

Abstract

This paper was presented and written for two seminars: a national UK University Risk Conference and a Risk Management industry workshop. The target audience is therefore a cross section of Academics and industry professionals. The current ongoing global credit crunch has highlighted the importance of risk measurement in Finance to companies and regulators alike. Despite risk measurement's central importance to risk management, few papers exist reviewing them or following their evolution from its foremost beginnings up to the present day risk measures. This paper reviews the most important portfolio risk measures in Financial Mathematics, from Bernoulli (1738) to Markowitz's Portfolio Theory, to the presently preferred risk measures such as CVaR (conditional Value at Risk). We provide a chronological review of the risk measures and survey less commonly known risk measures e.g. Treynor ratio.

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  • Sovan Mitra, 2009. "Risk Measures in Quantitative Finance," Papers 0904.0870, arXiv.org.
    • Handle: RePEc:arx:papers:0904.0870
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    References listed on IDEAS

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    1. Stonham, Paul, 1999. "Too close to the hedge: the case of long term capital management LP: Part two: near-collapse and rescue," European Management Journal, Elsevier, vol. 17(4), pages 382-390, August.
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