A Numerical Approach to Spectral Risk Measures

16 Pages Posted: 8 Oct 2008 Last revised: 2 Dec 2009

See all articles by Antoine (Jack) Jacquier

Antoine (Jack) Jacquier

Imperial College London; The Alan Turing Institute

Date Written: July 31, 2008

Abstract

We focus our work here on some very recent results obtained by Cherny and Madan on risk measures. They developed a rigorous mathematical framework for the study of coherent risk measures. The first sections mainly review the existing literature. We present it here for sake of completeness as well as to point out possible extensions. Our main contribution is to provide some numerical and empirical facts concerning Spectral Risk Measures, and in particular study Coherent Acceptability indices. One result, for instance, is that this Index is infinite for distributions that are symmetric around 0.

Keywords: Risk Measures, Distortion functions, Convolution Semigroups

JEL Classification: G12, C15, C63

Suggested Citation

Jacquier, Antoine, A Numerical Approach to Spectral Risk Measures (July 31, 2008). Available at SSRN: https://ssrn.com/abstract=1281024 or http://dx.doi.org/10.2139/ssrn.1281024

Antoine Jacquier (Contact Author)

Imperial College London ( email )

South Kensington Campus
London SW7 2AZ, SW7 2AZ
United Kingdom

HOME PAGE: http://wwwf.imperial.ac.uk/~ajacquie/

The Alan Turing Institute ( email )

British Library, 96 Euston Road
London, NW12DB
United Kingdom

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