Coherent Measures of Risk Coherent Measures of Risk

David Heath

Carnegie Mellon University, USA (heath@andrew.cmu.edu)

Abstract

In order to control risks one must first be able to measure them. We study properties which a good measure of risk should posses. From this point of view we examine the properties of some risk measures in current use. We provide a representation theorem for all such "coherent" risk measures, and, as a special case, exhibit a VaR-like risk measure which is slightly more conservative than VaR but is coherent.


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