Gao Quan-sheng
Abstract
Some basic concepts concerning mathematical foundation of financial risk are introdured. They are acaptable set and coherent risk measures. Some risk measures commonly used and their defaults are presented. Extreme value method of VaR and cone programming method of CVaR are discussed.
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Some basic concepts concerning mathematical foundation of financial risk are introdured. They are acaptable set and coherent risk measures. Some risk measures commonly used and their defaults are presented. Extreme value method of VaR and cone programming method of CVaR are discussed.
Key concepts: CVAR, Expected shortfall, Measure (data warehouse), Risk measure, Mathematical finance, Coherent risk measure, Actuarial science, Value at risk