Coherent Measures of Risk from a General Equilibrium Perspective

This file is part of IDEAS, which uses RePEc data

Coherent Measures of Risk from a General Equilibrium Perspective

Author Info

Péter Csóka () (Department of Economics, Universiteit Maastricht)
Jean-Jacques Herings () (Department of Economics, Universiteit Maastricht)
László Kóczy () (Department of Economics, Universiteit Maastricht)

Additional information is available for the following registered author(s):

Abstract

Coherent measures of risk defined by the axioms of monotonicity, subadditivity, positive homogeneity, and translation invariance are recent tools in risk management to assess the amount of risk agents are exposed to. If they also satisfy law invariance and comonotonic additivity, then we get a subclass of them: spectral measures of risk. Expected shortfall is a well-known spectral measure of risk is. We investigate the above mentioned six axioms using tools from general equi- librium (GE) theory. Coherent and spectral measures of risk are compared to the natural measure of risk derived from an exchange economy model, that we call GE measure of risk. We prove that GE measures of risk are coherent measures of risk. We also show that spectral measures of risk can be represented by GE measures of risk only under stringent conditions, since spectral measures of risk do not take the regulated entity's relation to the market portfolio into account. To give more insights, we characterize the set of GE measures of risk.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

Publisher Info
Paper provided by Institute of Economics, Hungarian Academy of Sciences in its series IEHAS Discussion Papers with number 0611.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length:
Date of creation: 30 Aug 2006
Date of revision: 30 Aug 2006
Handle: RePEc:has:discpr:0611

Contact details of provider:
Postal: 1112 Budapest, Budaorsi ut 45.
Phone: (36-1) 319-3119
Fax: (36-1) 319-3136
Web page: http://econ.core.hu
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Zsuzsa Balabán).

Other versions of this item:

Article
- Csoka, Peter & Herings, P. Jean-Jacques & Koczy, Laszlo A., 2007. "Coherent measures of risk from a general equilibrium perspective," Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2517-2534, August. [Downloadable!] (restricted)
Paper
- Csóka, Péter & Herings, P. Jean-Jacques & Kóczy, László Á., 2006. "Coherent Measures of Risk from a General Equilibrium Perspective," Research Memoranda 016, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]

Find related papers by JEL classification:
D51 - Microeconomics - - General Equilibrium and Disequilibrium - - - Exchange and Production Economies
G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing

This paper has been announced in the following NEP Reports:

NEP-ALL-2006-11-25 (All new papers)
NEP-UPT-2006-11-25 (Utility Models & Prospect Theory)

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

Grigorieva,Elena & Herings,P. Jean-Jacques & Müller,Rudolf & Vermeulen,Dries, 2002. "The private value single item bisection auction," Research Memoranda 051, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
Other versions:
- Elena Grigorieva & P. Herings & Rudolf Müller & Dries Vermeulen, 2007. "The private value single item bisection auction," Economic Theory, Springer, vol. 30(1), pages 107-118, January. [Downloadable!] (restricted)
Attila Ambrus & Rossella Argenziano, 2004. "Network Markets and Consumers Coordination," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
Other versions:
- Attila Ambrus & Rosella Argenziano, 2004. "Network Markets and Consumer Coordination," IEHAS Discussion Papers 0423, Institute of Economics, Hungarian Academy of Sciences. [Downloadable!]
- Attila Ambrus & Rossella Argenziano, 2004. "Network Markets and Consumers Coordination," Cowles Foundation Discussion Papers 1481, Cowles Foundation, Yale University. [Downloadable!]
Kata Bognar & Lones Smith, 2004. "We Can't Argue Forever," IEHAS Discussion Papers 0415, Institute of Economics, Hungarian Academy of Sciences. [Downloadable!]
John Geanakoplos & Martin Shubik, 1989. "The Capital Asset Pricing Model as a General Equilibrium with Incomplete Markets," Cowles Foundation Discussion Papers 913, Cowles Foundation, Yale University. [Downloadable!]
Green, Jerry & Laffont, Jean-Jacques, 1977. "Characterization of Satisfactory Mechanisms for the Revelation of Preferences for Public Goods," Econometrica, Econometric Society, vol. 45(2), pages 427-38, March. [Downloadable!] (restricted)
Rothkopf, Michael H. & Harstad, Ronald M., 1994. "On the role of discrete bid levels in oral auctions," European Journal of Operational Research, Elsevier, vol. 74(3), pages 572-581, May. [Downloadable!] (restricted)
Acerbi, Carlo, 2002. "Spectral measures of risk: A coherent representation of subjective risk aversion," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1505-1518, July. [Downloadable!] (restricted)
Acerbi, Carlo & Tasche, Dirk, 2002. "On the coherence of expected shortfall," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1487-1503, July. [Downloadable!] (restricted)
Magill, Michael & Shafer, Wayne, 1991. "Incomplete markets," Handbook of Mathematical Economics, in: W. Hildenbrand & H. Sonnenschein (ed.), Handbook of Mathematical Economics, edition 1, volume 4, chapter 30, pages 1523-1614 Elsevier. [Downloadable!] (restricted)

Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

Péter Csóka & P. Jean-Jacques Herings & László Á. Kóczy, 2007. "Stable Allocations of Risk," Working Paper Series 0802, Budapest Tech, Keleti Faculty of Economics, revised Apr 2008. [Downloadable!]
Other versions:
- Csóka, Péter & Herings, P. Jean-Jacques & Kóczy, László Á,, 2007. "Stable Allocations of Risk," Research Memoranda 040, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
- Peter Csoka & P. Jean-Jacques Herings, & Laszlo A. Koczy, 2007. "Stable Allocations of Risk," IEHAS Discussion Papers 0704, Institute of Economics, Hungarian Academy of Sciences. [Downloadable!]
- Csóka, Péter & Herings, P. Jean-Jacques & Kóczy, László Á., 2009. "Stable allocations of risk," Games and Economic Behavior, Elsevier, vol. 67(1), pages 266-276, September. [Downloadable!] (restricted)

Statistics

Access and download statistics

Did you know? To receive notification of recent additions to the database, subscribe to the free NEP reports.

This page was last updated on 2009-11-25.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.