IDEAS home Printed from https://ideas.repec.org/h/spr/sprchp/978-3-319-04486-6_5.html

The Mathematical Concept of Measuring Risk

In: Risk - A Multidisciplinary Introduction

Author

Listed:
  • Francesca Biagini

    (University of München, Chair of Financial Mathematics, Department of Mathematics)

  • Thilo Meyer-Brandis

    (University of München, Financial Mathematics, Department of Mathematics)

  • Gregor Svindland

    (University of München, Financial Mathematics, Department of Mathematics)

Abstract

One of the key tasks in risk management is the quantification of risk implied by uncertain future scenarios which then has to be interpreted with respect to certain risk management decisions. Mathematically, the usual tool for doing so is a quantitative risk measure. The financial industry standard risk measure Value-at-Risk exhibits some serious deficiencies and a vital research activity has been ongoing to search for better alternatives. In this chapter we give an introduction to the general theory of monetary, convex, and coherent risk measures and present illustrating and motivating examples.

Suggested Citation

  • Francesca Biagini & Thilo Meyer-Brandis & Gregor Svindland, 2014. "The Mathematical Concept of Measuring Risk," Springer Books, in: Claudia Klüppelberg & Daniel Straub & Isabell M. Welpe (ed.), Risk - A Multidisciplinary Introduction, edition 127, chapter 0, pages 133-150, Springer.
    • Handle: RePEc:spr:sprchp:978-3-319-04486-6_5
    DOI: 10.1007/978-3-319-04486-6_5
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a
    for a similarly titled item that would be available.

    More about this item

    Keywords

    ;
    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:sprchp:978-3-319-04486-6_5. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.