Risk measures : in search of the Holy Grail.

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 p...

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Main Authors:	Brynjar Bustnes., Koong, Chee Seng., Lee, Ho Sung.
Other Authors:	Charoenwong, Charlie
Format:	Theses and Dissertations
Published:	2008
Subjects:	DRNTU::Business::Operations management::Risk management
Online Access:	http://hdl.handle.net/10356/7633
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Institution:	Nanyang Technological University

id	sg-ntu-dr.10356-7633
record_format	dspace
spelling	sg-ntu-dr.10356-76332024-01-12T10:25:12Z Risk measures : in search of the Holy Grail. Brynjar Bustnes. Koong, Chee Seng. Lee, Ho Sung. Charoenwong, Charlie Nanyang Business School DRNTU::Business::Operations management::Risk management 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). Master of Science (Financial Engineering) 2008-09-18T07:48:45Z 2008-09-18T07:48:45Z 2003 2003 Thesis http://hdl.handle.net/10356/7633 Nanyang Technological University application/pdf
institution	Nanyang Technological University
building	NTU Library
continent	Asia
country	Singapore Singapore
content_provider	NTU Library
collection	DR-NTU
topic	DRNTU::Business::Operations management::Risk management
spellingShingle	DRNTU::Business::Operations management::Risk management Brynjar Bustnes. Koong, Chee Seng. Lee, Ho Sung. Risk measures : in search of the Holy Grail.
description	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).
author2	Charoenwong, Charlie
author_facet	Charoenwong, Charlie Brynjar Bustnes. Koong, Chee Seng. Lee, Ho Sung.
format	Theses and Dissertations
author	Brynjar Bustnes. Koong, Chee Seng. Lee, Ho Sung.
author_sort	Brynjar Bustnes.
title	Risk measures : in search of the Holy Grail.
title_short	Risk measures : in search of the Holy Grail.
title_full	Risk measures : in search of the Holy Grail.
title_fullStr	Risk measures : in search of the Holy Grail.
title_full_unstemmed	Risk measures : in search of the Holy Grail.
title_sort	risk measures : in search of the holy grail.
publishDate	2008
url	http://hdl.handle.net/10356/7633
_version_	1789483121138204672

Risk measures : in search of the Holy Grail.

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