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An Extended Family of Financial Risk Measures

Author

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  • Pedersen, C. S.
  • Satchell, S. E.

Abstract

Recalling the class of risk measures introduced by Stone (1973), the authors survey measures from several academic disciplines including psychology, economics and finance, which have been introduced since 1973. They introduce a general class of risk measures which extends Stone's class to include these new measures. Finally, they give three axioms that describe necessary attributes of a good financial risk measure, and show which of all measures surveyed satisfy these. They demonstrate that all measures which satisfy the axioms, as well as those which do not but are commonly used in finance, belong to their new generalised class.

Suggested Citation

  • Pedersen, C. S. & Satchell, S. E., 1966. "An Extended Family of Financial Risk Measures," Cambridge Working Papers in Economics 9623, Faculty of Economics, University of Cambridge.
    • Handle: RePEc:cam:camdae:9623
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