This paper presents a general theory that works out the relation between coherent risk measures, valuation bounds, and … theory presented seems to fill a gap between arbitrage valuation on the one hand and single agent utility maximization or … full-fledged equilibrium theory on the other hand. "Coherent" valuation bounds strike a balance in that the bounds can be …

We introduce the notion of a convex measure of risk, an extension of the concept of a coherent risk measure defined in … the underlying space of scenarios. As a case study, we consider convex measures of risk defined in terms of a robust not … ion of bounded shortfall risk. In the context of a financial market model, it turns out that the representation theorem is …

- we show that the current standard of quantifying market risk is flawed. It is perfectly aligned with the interests of … ; supervision ; risk measures ; Basel Accord …

VaR models are related to statistical forecast systems. Within that framework different forecast tasks including Value-at-Risk …

correlation measure, which overcomes the limitations of existing covariance based measures. A case study is examined, where …

considerably over recent years. The risk analysis and valuation of such multi-name structures often relies on simulating the …