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Risk measures in quantitative finance

Author

Listed:
  • Sovan Mitra
  • Tong Ji

Abstract

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 current day risk measures. This paper reviews the most important portfolio risk measures in financial mathematics, from Bernoulli to Markowitz’s portfolio theory, to the currently preferred risk measures such as conditional value at risk. We provide a chronological review of the risk measures and survey less commonly known risk measures (e.g. Treynor ratio).

Suggested Citation

  • Sovan Mitra & Tong Ji, 2010. "Risk measures in quantitative finance," International Journal of Business Continuity and Risk Management, Inderscience Enterprises Ltd, vol. 1(2), pages 125-135.
    • Handle: RePEc:ids:ijbcrm:v:1:y:2010:i:2:p:125-135
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    Cited by:

    1. Mitra, Sovan, 2013. "Operational risk of option hedging," Economic Modelling, Elsevier, vol. 33(C), pages 194-203.
    2. Vikram Krishnamurthy & Sujay Bhatt, 2015. "Sequential Detection of Market shocks using Risk-averse Agent Based Models," Papers 1511.01965, arXiv.org.

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