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Risk Management with Coherent Measures of Risk
Mar 28, 2001
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| Abstract: We present a framework for the measurement and management of financial risk. We review coherent measures of risk, suitable for risk regulation, and extend it to risk measures consistent with the preferences of a representative investor. We consider a "Markowitz-style" formulation of the firm's decision problem. Finally, we introduce an internal market for the trading of risk limits which has an equilibrium yielding the optimal solution for the firm. |
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2001 Purdue University Last Update: July 10, 2001 Please send comments and suggestions to the Webmaster. |