We introduce the notion of a convex measure of risk, an extension of the concept of a coherent risk measure defined in … the underlying space of scenarios. As a case study, we consider convex measures of risk defined in terms of a robust not … ion of bounded shortfall risk. In the context of a financial market model, it turns out that the representation theorem is …

In Lecesne and Roncoroni (2013), we introduce the notion of monetary measure of risk borne by any financial claim. Our … presentation moves from general definitions to concrete instances, including the benchmark measure Value-at-Risk (VaR). Part II … develops a treatment of the class of coherent (monetary) measures of risk put forward by Artzner et al. (1999). Our goal is to …

evaluation of the methodological and empirical advances in the measurement of the extreme market risk. This paper argues that a … sustain the rise of financial markets. Thereafter, this review identified the value at risk (VaR) and VaR-based alternative … expected shortfall (ES) as the principal measures of extreme market risk. The deficiencies in the standard modelling approaches …

This paper is devoted to risk management and risk measurement methods. The author considers methods of risk measurement … and proposes the Inte- gral Sum of Differential Weighted Indexes of Risks (or ISDWIR) method of risk measurement. The … is also compared with other risk measurement methods. …

measurement in influencing economic decisions. They attempt to measure uncertainty by indexes of volatility of the stock market … although risk can be measured, uncertainty cannot be measured. Even though risk can be measured, a simple symmetric measure … attempt at "measuring" risk or (fundamental) uncertainty is flawed. …

integrates risk into the standard inequality measurement which measures the extent to which disparities in realized health are …The measurement of health disparities is a key component for the assessment of health systems. One aspect of these … disparities - which hitherto has received limited attention - is the risk people face about their future health. This paper …

We extend the definition of a convex risk measure to a conditional framework where additional information is available …. We characterize these risk measures through the associated acceptance sets and prove a representation result in terms of … conditional expectations. As an example we consider the class of conditional entropic risk measures. A new regularity property of …