A Numerical Approach to Spectral Risk Measures
16 Pages Posted: 8 Oct 2008 Last revised: 2 Dec 2009
Date Written: July 31, 2008
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: Suggested Citation