Measures of risk.

*(English)*Zbl 1066.91061Summary: The conditions under which the classical measures of risk like the mean, the linear correlation coefficient and VaR can be used are discussed. The definition of risk measure and the main recently proposed risk measures are presented. The problems connected with co-dependence are outlined.

##### MSC:

91G70 | Statistical methods; risk measures |

##### Keywords:

risk measures; scalar co-dependence measures; conditional value-at-risk; expected shortfall; spectral risk measures and acceptable risk weights##### Software:

RiskMetrics
Full Text:
DOI

**OpenURL**

##### References:

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