Download This PaperTrade-Off between Robust Risk Measurement and Market Principles
18 Pages Posted: 9 May 2011 Last revised: 30 Sep 2011
Date Written: May 4, 2011
Abstract
Cont et al. recently showed that coherent risk measures are not robust with respect to changes in large data. In this paper we show that robust risk measures always generate pathological financial positions called "Good Deals". We also introduce the minimal distribution invariant modification of risk measures and study their robustness and sensitivity.
Keywords: Coherent Risk Measure, Good Deal, Risk Modification, Sensitivity Function
JEL Classification: C32, C02
Suggested Citation: Suggested Citation
Assa, Hirbod, Trade-Off between Robust Risk Measurement and Market Principles (May 4, 2011). Available at SSRN: https://ssrn.com/abstract=1831768 or http://dx.doi.org/10.2139/ssrn.1831768
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