Complex and Coherent Risk Measure

DOI

10.2991/itms-15.2015.44How to use a DOI?

Keywords

Coherent risk measure; complex adaptive system.

Abstract

Coherent risk measures have been introduced by Artzner et al. in financial markets where the set of states is finite. This theory has been extended by Delbaen to cases where is infinite. The financial markets are constantly evolving and the classical definition of risk measures is “static”. Hence, the need to study its complexity and evolution. “Complexity theory” focuses on the interdisciplinary study of its systems. In its evolution, the study of complex adaptive systems and the emergent phenomena associated with them are of fundamental importance. In this paper, we consider the coherent risk measure and their interpretation as complex adaptive system.

Copyright

© 2015, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - M.C. Miglionico
AU  - G. D'angelo
PY  - 2015/11
DA  - 2015/11
TI  - Complex and Coherent Risk Measure
BT  - Proceedings of the 2015 International Conference on Industrial Technology and Management Science
PB  - Atlantis Press
SP  - 174
EP  - 176
SN  - 2352-538X
UR  - https://doi.org/10.2991/itms-15.2015.44
DO  - 10.2991/itms-15.2015.44
ID  - Miglionico2015/11
ER  -