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The Axiomatic Approach to Risk Measures for Capital Determination

The Axiomatic Approach to Risk Measures for Capital Determination The quantification of downside risk in terms of capital requirements is a key issue for both regulators and the financial industry. This review presents the axiomatic approach, which is based on monetary risk measures. These provide a unifying mathematical framework for the determination of capital requirements, for economic indices of riskiness, and for the analysis of preferences in the face of risk and Knightian uncertainty. In the special case of distribution-based risk measures, we review recent advances in characterizing their statistical properties such as elicitability and robustness. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Annual Review of Financial Economics Annual Reviews

The Axiomatic Approach to Risk Measures for Capital Determination

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References (89)

Publisher
Annual Reviews
Copyright
Copyright © 2015 by Annual Reviews. All rights reserved
ISSN
1941-1367
eISSN
1941-1375
DOI
10.1146/annurev-financial-111914-042031
Publisher site
See Article on Publisher Site

Abstract

The quantification of downside risk in terms of capital requirements is a key issue for both regulators and the financial industry. This review presents the axiomatic approach, which is based on monetary risk measures. These provide a unifying mathematical framework for the determination of capital requirements, for economic indices of riskiness, and for the analysis of preferences in the face of risk and Knightian uncertainty. In the special case of distribution-based risk measures, we review recent advances in characterizing their statistical properties such as elicitability and robustness.

Journal

Annual Review of Financial EconomicsAnnual Reviews

Published: Dec 7, 2015

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