Title:

Axiomatic extension of risk measurement

Group publication title:

Ekonometria = Econometrics

Title in english:

Aksjomatyczne rozszerzenie pomiaru ryzyka

Creator:

Khemissi, Eliza

Subject and Keywords:

axioms of risk measure ; coherence ; VaR ; ES ; aksjomaty miary ryzyka ; koherentność ; oczekiwany niedobór

Description:

Ekonometria = Econometrics, 2017, Nr 2 (56), s. 116-126

Abstrakt:

In the article the author introduce the additional axiom of measure of risk and checks, mathematically proving, which well-known functions of risk fulfill this additional axiom. This will be conducted for functions such as: Value at Risk, Expected Shortfall, Median, Absolute Median Deviation, Maximum, Maximum Loss, Half Range, and Arithme- tic Average. In other words, the purpose of the paper is studying which of the above func- tions fulfill the additional axiom of measure of risk, which can enrich Arzner’s and other axioms. This axiom is not a consequence of Arzner’s and other axioms. Furthermore, the author researches mathematically if the mentioned functions of risk retain their properties after replacing the partial order with the stochastic order. Finally the author presents the new measure of risk which fulfills all the axioms of measure of risk and the additional axiom

Publisher:

Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu

Place of publication:

Wrocław

Date:

2017

Resource Type:

artykuł

Format:

application/pdf

Resource Identifier:

doi:10.15611/ekt.2017.2.08

Language:

eng

Relation:

Ekonometria = Econometrics, 2017, Nr 2 (56)

Rights:

Pewne prawa zastrzeżone na rzecz Autorów i Wydawcy

Access Rights:

Dla wszystkich zgodnie z licencją

License:

CC BY-NC-ND 3.0 PL

Location:

Uniwersytet Ekonomiczny we Wrocławiu