In this paper we study both market risks and nonmarket risks, without complete markets assumption, and discuss methods of measurement of these risks. We present and justify a set of four desirable properties for measures of risk, and call the measures satisfying these properties…
# Coherent Measures of Risk
> OpenAlex Metadata Hub · https://openalex.org/W2019291268
## Bibliographic
- **DOI:** 10.1111/1467-9965.00068
- **Year:** 1999
- **Citations:** 9013
- **Open Access:** Yes (bronze)
- **License:** —
- **Source:** https://onlinelibrary.wiley.com/doi/pdfdirect/10.1111/1467-9965.00068
## Authors
- Philippe Artzner
- Freddy Delbaen
- Jean‐Marc Eber
- David Heath
## Abstract
In this paper we study both market risks and nonmarket risks, without complete markets assumption, and discuss methods of measurement of these risks. We present and justify a set of four desirable properties for measures of risk, and call the measures satisfying these properties “coherent.” We examine the measures of risk provided and the related actions required by SPAN, by the SEC/NASD rules, and by quantile‐based methods. We demonstrate the universality of scenario‐based methods for providing coherent measures. We offer suggestions concerning the SEC method. We also suggest a method to repair the failure of subadditivity of quantile‐based methods.
## Keywords
Coherent risk measure, Quantile, Subadditivity, Risk measure, Econometrics, Universality (dynamical systems), Actuarial science, Dynamic risk measure, Expected shortfall, Market risk, Risk analysis (engineering), Value at risk, Spectral risk measure, Computer science, Economics, Risk management, Mathematics, Financial economics, Business, Finance
## Concepts
- Coherent risk measure
- Quantile
- Subadditivity
- Risk measure
- Econometrics
- Universality (dynamical systems)
- Actuarial science
- Dynamic risk measure
- Expected shortfall
- Market risk
- Risk analysis (engineering)
- Value at risk
- Spectral risk measure
- Computer science
- Economics
- Risk management
- Mathematics
- Financial economics
- Business
- Finance
- Physics
- Portfolio
- Discrete mathematics
- Quantum mechanics
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*Metadata only — full text not imported unless Open Access license permits.*
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Tóm lược học thuật (đã diễn giải): In this paper we study both market risks and nonmarket risks, without complete markets assumption, and discuss methods of measurement of these risks. We present and justify a set of four desirable properties for measures of risk, and call the measures satisfying these properties “coherent.” We examine the measures of risk provided and the related actions required by SPAN, by the SEC/NASD rules, and by quantile‐based methods. We demonstrate the universality of scenario‐based methods for providing coherent measures. We offer suggestions concerning the SEC method. We also suggest a method to repair the failure of subadditivity of quantile‐based methods.
Phần Trading Insights bên dưới nối nghiên cứu với Forex, vàng, USD, lãi suất và risk regime — để bạn đưa vào journal và playbook.
Metadata DOI/OA chỉ là rail tham chiếu; nội dung chính là summary, takeaways và ứng dụng thị trường do Content Factory sinh.
1. In this paper we study both market risks and nonmarket risks, without complete markets assumption, and discuss methods of measurement of these risks.
2. We present and justify a set of four desirable properties for measures of risk, and call the measures satisfying these properties “coherent.” We examine the measures of risk provided and the related actions required by SPAN, by the SEC/NASD rules, and by quantile‐based methods.
3. We demonstrate the universality of scenario‐based methods for providing coherent measures.
4. We offer suggestions concerning the SEC method.
5. We also suggest a method to repair the failure of subadditivity of quantile‐based methods.
Tài liệu giúp trader hệ thống hóa khái niệm quanh “Coherent Measures of Risk” — ưu tiên chuyển thành checklist quan sát thị trường thay vì copy abstract.
Gắn 1–2 giả thuyết giao dịch có thể kiểm chứng trên journal (entry bias, invalidation, session) trước khi scale size.
Góc Forex: đối chiếu kết luận bài với hành giá gần nhất và lịch tin impact cao trước khi vào lệnh.
Góc Gold (XAUUSD): đối chiếu kết luận bài với hành giá gần nhất và lịch tin impact cao trước khi vào lệnh.
Trading: rút 1 bias hoặc 1 setup hypothesis từ Key Takeaways, test trên demo/journal trước khi live.
Risk: chuyển insight thành rule (max risk/trade, pause quanh tin, correlation USD–vàng) và gắn vào playbook.
