English Coherent risk measure Cited by user MPG IRA on 25 Jan 2014 Normalized That is, the risk of holding no assets is zero.
English Expected shortfall Cited by user Zfeinst on 11 Mar 2012 Expected shortfall (ES) is a risk measure, a concept used in finance (and more specifically in the field of financial risk measurement) to evaluate the market risk or…
English Value at risk Cited by user Zfeinst on 11 Mar 2012 For example, if a portfolio of stocks has a one-day 5% VaR of $1 million, there is a 0.05 probability that the portfolio will fall in value by more than $1 million over…
English Distortion risk measure Cited by user Zfeinst on 11 Mar 2012 In financial mathematics, a distortion risk measure is a type of risk measure which is related to the cumulative distribution function of the return of a financial…
English Distortion function Cited by user Zfeinst on 10 Mar 2012 Given a probability space, then for any random variable and any distortion function we can define a new probability measure such that for any it follows that.