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Coherent Measures of Risk

Philippe Artzner; Freddy Delbaen; Jean‐Marc Eber; David Heath · Mathematical Finance · 1999

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Author / responsible party
Philippe Artzner; Freddy Delbaen; Jean‐Marc Eber; David Heath
Publisher
Mathematical Finance
Year
1999
Language
English

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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.

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APA 7

Artzner, P, Delbaen, F, Eber, J, & Heath, D. (1999). Coherent Measures of Risk. https://doi.org/10.1111/1467-9965.00068

MLA

Artzner, Philippe, et al. "Coherent Measures of Risk." 1999. https://doi.org/10.1111/1467-9965.00068.

Chicago

Artzner, Philippe, Freddy Delbaen, Jean‐Marc Eber, and David Heath. 1999. "Coherent Measures of Risk.". https://doi.org/10.1111/1467-9965.00068.

Harvard

Artzner, P. et al. 1999, Coherent Measures of Risk, Mathematical Finance, available at: https://doi.org/10.1111/1467-9965.00068 [Accessed 8 Aug. 2026].

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Resource details

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Title
Coherent Measures of Risk
Author / contributors
Philippe Artzner; Freddy Delbaen; Jean‐Marc Eber; David Heath
Publisher
Mathematical Finance
Publication year
1999
Language
English

Subjects

Explore related resources through these subjects.

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
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