Risk measures : in search of the Holy Grail.
Koong, Chee Seng.
Lee, Ho Sung.
Date of Issue2003
College of Business (Nanyang Business School)
In this dissertation, we review the development of risk measures in finance, starting from the traditional risk measures to the more recent downside risk measures. We outline the desirable properties that one should expect form a risk measure. There are several frameworks developed for this and we pay special attention to works of Pedersen and Satchell (1998).
DRNTU::Business::Operations management::Risk management
Nanyang Technological University