Risk measures in quantitative finance

Sovan Mitra and Tong Ji

International Journal of Business Continuity and Risk Management, 2010, vol. 1, issue 2, 125-135

Abstract: The current ongoing global credit crunch has highlighted the importance of risk measurement in finance to companies and regulators alike. Despite risk measurement’s central importance to risk management, few papers exist reviewing them or following their evolution from its foremost beginnings up to the current day risk measures. This paper reviews the most important portfolio risk measures in financial mathematics, from Bernoulli to Markowitz’s portfolio theory, to the currently preferred risk measures such as conditional value at risk. We provide a chronological review of the risk measures and survey less commonly known risk measures (e.g. Treynor ratio).

Keywords: risk measures; quantitative finance; coherence; investments; financial mathematics; credit crunch; risk measurement; regulators; company regulation; conditional values; Treynor ratio; Daniel Bernoulli; Harry Markowitz; portfolio theory; business continuity; risk management. (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (2)

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