Abstract

http://ssrn.com/abstract=1841237
 
 

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On Two Approaches to Coherent Risk Contribution


Alexander S. Cherny


Moscow State University

Dmitri Orlov


affiliation not provided to SSRN

July 2011

Mathematical Finance, Vol. 21, Issue 3, pp. 557-571, 2011

Abstract:     
We compare two approaches to the coherent risk contribution: the directional risk contribution is defined as where ρ is a coherent risk measure; the linear risk contribution ρl (X; Y) is defined through a set of axioms, one of which is the linearity in X. The linear risk contribution exists and is unique for any ρ from the Weighted V@R class. We provide the representation for both risk contributions in the general setting as well as in some examples, including the MINV@R risk measure defined as where X1, . . . , XN are independent copies of X.

Number of Pages in PDF File: 15

Keywords: conditional V@R, coherent risk measure, directional risk contribution, linear risk contribution, minimal extreme measure, MINV@R, Weighted V@R

Accepted Paper Series


Date posted: May 20, 2011  

Suggested Citation

Cherny, Alexander S. and Orlov, Dmitri, On Two Approaches to Coherent Risk Contribution (July 2011). Mathematical Finance, Vol. 21, Issue 3, pp. 557-571, 2011. Available at SSRN: http://ssrn.com/abstract=1841237 or http://dx.doi.org/10.1111/j.1467-9965.2010.00441.x

Contact Information

Alexander S. Cherny (Contact Author)
Moscow State University ( email )
Faculty of Mechanics and Mathematics
Department of Probability Theory
Moscow, 119992
Russia
007 095 939 14 03 (Phone)
007 095 939 14 03 (Fax)
HOME PAGE: http://mech.math.msu.su/~cherny
Dmitri Orlov
affiliation not provided to SSRN
No Address Available
Feedback to SSRN


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References:  29
Citations:  1

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