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Coherent Measures of Risk
Home
Publications
Coherent Measures of Risk
Coherent Measures of Risk
Philippe Artzner
Philippe Artzner
Freddy Delbaen
Freddy Delbaen
JE
Jean‐Marc Eber
Jean‐Marc Eber
DH
David Heath
David Heath
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1 July 1999
journal article
Published by
Wiley
in
Mathematical Finance
Vol. 9
(3)
,
203-228
https://doi.org/10.1111/1467-9965.00068
Abstract
No abstract available
Keywords
AGGREGATION OF RISKS
BUTTERFLY
CAPITAL REQUIREMENT
COHERENT RISK MEASURE
CONCENTRATION OF RISKS
CURRENCY RISK
DECENTRALIZATION
EXTREMAL EVENTS RISK
INSURANCE RISK
MARGIN REQUIREMENT
MARKET RISK
MEAN EXCESS FUNCTION
MEASURE OF RISK
MODEL RISK
NET WORTH
QUANTILE
RISK‐BASED CAPITAL
SCENARIO
SHORTFALL
SUBADDITIVITY
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