A Risk Measure That Goes beyond Coherence
نویسنده
چکیده
There are more to a risk-measure than being coherent. Both the popular VaR and the coherent Tail-VaR ignore useful information in a large part of the loss distribution; As a result they lack incentive for risk-management. I propose a new coherent risk-measure that utilizes information in the whole loss distribution and provides incentive for risk-management.
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