Progress in Risk Measurement
نویسندگان
چکیده
In this paper, we give the axiomatic characterization of risk measures and discuss the treads of developments in this area. The main recently proposed risk measures are presented, and their properties and relations are discussed. The corresponding versions of dynamic risk measure are also briefly introduced.
منابع مشابه
Risk measurement in the global supply chain using monte-carlo simulation
Nowadays, logistics and supply chain management (SCM) is critical to compete in the current turbulent markets. In addition, in the global context, there are many uncertainties which affect on the market. One of the most important risks is supplier disruption. The first step to cope with these uncertainties is quantifying them. In this regard many researches have focused on the problem but measu...
متن کاملRisk measurement and Implied volatility under Minimal Entropy Martingale Measure for Levy process
This paper focuses on two main issues that are based on two important concepts: exponential Levy process and minimal entropy martingale measure. First, we intend to obtain risk measurement such as value-at-risk (VaR) and conditional value-at-risk (CvaR) using Monte-Carlo methodunder minimal entropy martingale measure (MEMM) for exponential Levy process. This Martingale measure is used for the...
متن کاملA Statistical Approach to the Development of Progress Plans Utilizing Bayesian Methods and Expert Judgment
The development of progress plans for each identified technical performance parameter (TPP) is a critical element of technical performance measurement. The measured values of TPPs are referred to as technical performance measures (TPMs). These terms are used interchangeably; however, TPMs more directly reflect how technical progress and technical risk are measured and evaluated. Progress plans,...
متن کاملModeling the operational risk in Iranian commercial banks: case study of a private bank
The Basel Committee on Banking Supervision from the Bank for International Settlement classifies banking risks into three main categories including credit risk, market risk, and operational risk. The focus of this study is on the operational risk measurement in Iranian banks. Therefore, issues arising when trying to implement operational risk models in Iran are discussed, and ...
متن کاملElectrical Resistivity Measurement of the Molten Cordierite Glass Using Two-wire method
Electrical resistivity (ER) is a main parameter in the melting processes of glasses. However, its measurement is difficult at high temperatures. In this study the electrical resistivity of different cordierite glass samples in the molten state was measured in the temperature range of 1100˚C to 1550 ˚C using the two-wire method. It was attempted to decrease the electrical resistivity of the glas...
متن کاملPerformance Measurement and Improvement of Healthcare Service Using Discrete Event Simulation in Bahir Dar Clinic
This paper deals with the service performance analysis and improvement using discrete event simulation has been used. The simulation of the health care has been done by arena master development 14-version software. The performance measurement for this study are patients output, service rate, service efficiency and it is directly related to waiting time of patients in each service station, work ...
متن کامل