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Some properties of risk measures

Author

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  • Grażyna Trzpiot

Abstract

Powszechnie wykorzystywane do pomiaru ryzyka miary, jakimi są odchylenie standardowe oraz Value-at-risk nie zawsze oddają charakter mierzonego ryzyka. Dla uogólnienia problematyki pomiaru ryzyka zaproponowano podejście związane z koherentnymi miarami ryzyka. W pracy omówiono aksjomatykę związaną z proponowanym podejściem oraz przegląd miar związanych z omawianą aksjomatyką. Przedstawiono również dyskusję omawianych własności oraz możliwości praktycznych zastosowań.

Suggested Citation

  • Grażyna Trzpiot, 2004. "Some properties of risk measures," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 14(3-4), pages 91-98.
  • Handle: RePEc:wut:journl:v:3-4:y:2004:p:91-98
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    References listed on IDEAS

    as
    1. Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
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