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Monetary Measurement of Risk: A Critical Overview - Part I: General Definitions and Value-at-Risk

8 Pages Posted: 13 Nov 2015  

Lionel Lecesne

University of Cergy-Pontoise

Andrea Roncoroni

ESSEC Business School

Date Written: August 3, 2013

Abstract

We develop a self-contained pedagogical introduction to monetary measures of risk. This part deals with general definitions and a treatment of Value-at-Risk.

Suggested Citation

Lecesne, Lionel and Roncoroni, Andrea, Monetary Measurement of Risk: A Critical Overview - Part I: General Definitions and Value-at-Risk (August 3, 2013). Available at SSRN: https://ssrn.com/abstract=2689131 or http://dx.doi.org/10.2139/ssrn.2689131

Lionel Lecesne

University of Cergy-Pontoise

33 Boulevard du Port
Cergy, 95000
France

Andrea Roncoroni (Contact Author)

ESSEC Business School ( email )

Avenue Bernard Hirsch BP 50105
Cergy-Pontoise, 95021
France
+33 (0)1 34 43 32 39 (Phone)
+33 (0)1 34 43 30 01 (Fax)

HOME PAGE: http://www45.essec.edu/faculty/andrea-roncoroni

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