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Through an axiomatic approach, Artzner et al.  defined an important class of risk measures known as the coherent risk measure (CRM) and they shown that VaR.
A downside risk measure that circumvents the shortcomings of VaR while offering a similar quantile approach to estimation of risk is the Conditional Value-at-Risk ... Using coherent risk measures, we discuss a portfolio optimization problem under randomness and fuzziness. By analytical approach, we derive a solution of the ...
2. Coherent measures of risk. The theory of coherent risk measures was initiated by Artzner et al., 1997, Artzner et al., 1999 and developed further by Bertsimas et al. (2000), Delbaen (2000), Kusuoka (2001), Acerbi (2002), Fritelli and Rosazza Gianin (2002), Acerbi …
Through an axiomatic approach, Artzner et al.  defined an important class of risk measures known as the coherent risk measure (CRM) and they shown that VaR. Note that V0 - V is a measure of our loss, not our gain ... hence it measures "risk". For example, Figure 3 is a sample cumulative distribution of portfolios, M months ...
28/06/2019 · The paper discusses a new coherent risk measure, the Modified Expected Shortfall and its application for Operational Risk quantification. In the context of the Advanced Measurement Approach, using VaR as the risk measure tends to overestimate operational losses. Overestimation of operational leads to excessive capital charges.