Joaquin, Domingo Castelo - In: The Quarterly Review of Economics and Finance 49 (2009) 2, pp. 725-729
This note identifies three properties of a risk measure, the acceptance of all of which implies the acceptance of the VaR risk measure; and the rejection of any one of which implies the rejection of the VaR risk measure. First, a risk measure should reflect weak aversion to losses. Second, only...
