Risk Measures Theory: a comprehensive survey

Marcelo Righi () and Paulo Sergio Ceretta ()

Brazilian Review of Finance, 2014, vol. 12, issue 3, 411-464

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.

Keywords: Risk measures; Risk measures theory; Risk management; Risk measures classes; Literature review (search for similar items in EconPapers)
JEL-codes: C6 G10 G19 (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:brf:journl:v:12:y:2014:i:3:p:411-464

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