Farkas, Walter; Smirnow, Alexander - 2016 - First version: October 26, 2016
Monetary risk measures classify a financial position by the minimal amount of external capital that must be added to … the position to make it acceptable.We propose a new concept: intrinsic risk measures. The definition via external capital … is avoided and only internal resources appear. An intrinsic risk measure is defined by the smallest percentage of the …
