Intrinsic Risk Measures


Monetary risk measures classify a financial position by the minimal amount of external capital that must be added to make it acceptable. We propose a new concept: intrinsic risk measures. An intrinsic risk measure is defined... [ view full abstract ]


  1. Alexander Smirnow (University of Zurich)
  2. Walter Farkas (University of Zurich)

Topic Areas

Capital Requirements , Risk Management , Risk Measures


TU-P-SY » Risk Dynamics (14:30 - Tuesday, 17th July, Synge)

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