Draft: Coherent Risk Measures
نویسنده
چکیده
Part of the course was devoted to an analysis of Value at Risk and its relation to quantiles. A detailed discussion of this can be found in two papers by Artzner, Delbaen, Eber and Heath, ADEH1 and ADEH2. It will not be repeated here. We will rather concentrate on the mathematics behind the concept of coherent risk measures. They were introduced in the two mentioned papers and the mathematical theory was further developped in Delbaen (1999), D2. Further use of coherent risk measures can be found in the papers (and their references) by Jaschke, Ja and JaK, Tasche, AT and Föllmer-Schied, FS. The reader should consult the cited web-sites to find several papers dealing with this subject. The paper by Föllmer and Schied introduces a generalisation of coherent risk measures.
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