Abstract
The financial market faces risks arising from many types of uncertain losses, including market risk, credit risk, liquidity risk, operational risk, etc. In 1988, the Basel Committee on Banking Supervision proposed measures to control credit risk in banking. A risk measure called the value-at-risk, acronym VaR, became, in the 1990s, an important tool of risk assessment and management for banks, securities companies, investment funds, and other financial institutions in asset allocation and performance evaluation. The VaR associated with a given confidence level for a venture capital is the upper limit of possible losses in the next certain period of time. In 1996 the Basel Committee on Banking Supervision endorsed the VaR as one of the acceptable methods for the bank’s internal risk measure. However, due to the defects of VaR, a variety of new risk measures came into being. This chapter focuses on the representation theorems for static risk measures. For an overview of the subject we refer to Song and Yan (2009b).
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Yan, JA. (2018). Static Risk Measures. In: Introduction to Stochastic Finance. Universitext. Springer, Singapore. https://doi.org/10.1007/978-981-13-1657-9_10
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DOI: https://doi.org/10.1007/978-981-13-1657-9_10
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