Risk Measures
VaR, CVaR, coherent and convex risk measures.
Risk Measures. VaR, CVaR, coherent and convex risk measures.
Foundations and canonical references
The standard treatments of risk measures approach the subject from complementary angles. Follmer, Stochastic Finance: An Introduction in Discrete Time (2016) is the anchor reference for the subject and lays out the core definitions, theorems, and worked examples that practitioners return to.
Recent technical contributions
A handful of recent papers carry the methodological frontier of risk measures forward. Coherent measures of risk (Artzner et al., 1999) is a primary reference for this area and develops new techniques or results that downstream work builds on.
Open methodological questions for risk measures include sharpening the bridges between foundational theory and computational practice, extending classical results to broader or more structured settings, and integrating the techniques surveyed above with adjacent mathematical disciplines. The references listed in this page are the entry points that current work builds on.
Prerequisites
Sources
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- textbook · primary · 2016Stochastic Finance: An Introduction in Discrete Timefollmer-2016, schied-2016
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