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Risk Measures Theory: a comprehensive survey

Author

Listed:
  • Marcelo Brutti Righi

    (Universidade Federal de Santa Maria)

  • Paulo Sergio Ceretta

Abstract

A fundamental aspect of proper risk management is the measurement, especially forecasting of risk measures. Measures such as variance, volatility and Value at Risk had been considered valid because of their practical intuition. However, a solid theoretical framework it is important to ensure better properties for risk measures. Such background is the risk measures theory. This paper presents a comprehensive literature review on risk measures theory, focusing in basic theory and extensions to this fundamental outline. The paper is structured in order to cover the main risk measures classes from literature, which are coherent risk measures, convex risk measures, spectral and distortion risk measures and generalized deviation measures.

Suggested Citation

  • Marcelo Brutti Righi & Paulo Sergio Ceretta, 2014. "Risk Measures Theory: a comprehensive survey," Brazilian Review of Finance, Brazilian Society of Finance, vol. 12(3), pages 411-464.
    • Handle: RePEc:brf:journl:v:12:y:2014:i:3:p:411-464
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    More about this item

    Keywords

    Risk measures; Risk measures theory; Risk management; Risk measures classes; Literature review;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G19 - Financial Economics - - General Financial Markets - - - Other
    • C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling

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