Browsing College of Business and Law by Subject "Coherent risk measures"

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Spectral risk measures and the choice of risk aversion functior

Dowd, Kevin ; Cotter, John (University College Dublin. School of Business. Centre for Financial Markets, 2007-03-11)

Spectral risk measures are attractive risk measures as they allow the user to obtain risk measures that reflect their risk-aversion functions. To date there has been very little guidance on the choice of risk-aversion ...
Spectral risk measures : properties and limitations

Dowd, Kevin ; Cotter, John ; Sorwar, Ghulam (Springer, 2008-08)

Spectral risk measures (SRMs) are risk measures that take account of user risk-aversion, but to date there has been little guidance on the choice of utility function underlying them. This paper addresses this issue by ...
Spectral risk measures : properties and limitations

Dowd, Kevin ; Cotter, John ; Sorwar, Ghulam (University College Dublin. School of Business. Centre for Financial MarketsUniversity College Dublin. School of Business, 2008-04-18)

Spectral risk measures (SRMs) are risk measures that take account of user risk aversion, but to date there has been little guidance on the choice of utility function underlying them. This paper addresses this issue by ...