This paper presents a general theory that works out the relation between coherent risk measures, valuation bounds, and … preferences, in the way many coherent risk measures are somewhat generic. -- coherent risk rneasures ; valuation bounds …

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 …

determine the unique hedging strategies which minimize a suitably defined shortfall risk under a given cost constraint. We … compare the performance of the optimal strategy for different degrees of the investor's risk-aversion. -- Efficient hedging …

risk …

VaR models are related to statistical forecast systems. Within that framework different forecast tasks including Value-at-Risk …