VALUE AT RISK AT CHOQUET (VaRC)

LA VALEUR EN RISQUE A LA CHOQUET (VaRC)

Issouf Abdou (), Philibert Andriamanantena (), Raoul Mamy () and Rivo Rakotozafy
Additional contact information
Issouf Abdou: Université des Comores, BP 2585, Moroni, rue de la Corniche Comores
Philibert Andriamanantena: Jean RALAIMONGO Ankofafa Andrefana, 301 Fianarantsoa,
Raoul Mamy: Université d’Antananarivo, Faculté de Droit, d’Economie, de Gestion et de Sociologie Ankatso, 101 Madagascar
Rivo Rakotozafy: Université de Fianarantsoa, BP 1264, Andrainjato, 301 Fianarantsoa, Madagascar

Working Papers from HAL

Abstract: These papers present a risk management model in a complex environment such as that of microfinance. These environments have not yet benefited from any suitable risk assessment model. Inspired by the utility à la Choquet dependent on the state of nature, this model makes it possible to incorporate the economic context in the evaluation of the value at risk. It is a subjective model and an extreme risk measurement tool.

Keywords: Risk Subjective Preferences Utility Choquet Integral Complex Environment JEL Classification :B23 Risque Préférences Subjectives Utilité Intégrale de Choquet Environnement complexe; Risk; Subjective Preferences; Utility; Choquet Integral; Complex Environment JEL Classification :B23 Risque; Préférences Subjectives; Utilité; Intégrale de Choquet; Environnement complexe (search for similar items in EconPapers)
Date: 2023-08-06
Note: View the original document on HAL open archive server: https://hal.science/hal-04177863
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