Cont, Rama; Deguest, Romain; Scandolo, Giacomo - In: Quantitative Finance 10 (2010) 6, pp. 593-606
Measuring the risk of a financial portfolio involves two steps: estimating the loss distribution of the portfolio from available observations and computing a 'risk measure' that summarizes the risk of the portfolio. We define the notion of 'risk measurement procedure', which includes both of...