coherent-risk-measures

  1. Nicole Seaman

    YouTube T4-05: Coherent risk measures and why VaR is not coherent

    Coherence requires that a risk measure meets all four of the following conditions unconditionally: 1. Translation invariance (aka, adding cash reduces risk), 2. Positive homogeneity (aka, risk is proportional to size"), 3. Monotonicity (aka, If Y dominates X, then Y is less risky than X), and 4...
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