DEVELOPMENT OF A MORE APPLIED VERSION OF COHERENCY CALLED ‘SENSIBLE COHERENCY’ FOR ASSESSMENT OF FINANCIAL RISK MEASURES
<p>ENGLISH ABSTRACT: Coherency is becoming a necessary feature for any risk measure, and now is an acceptable tool in risk management to assess the risk measures. For example, recent studies have strongly criticised VaR-based models for not providing a coherent risk measure. Because of...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Stellenbosch University
2012-01-01
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| Series: | South African Journal of Industrial Engineering |
| Online Access: | http://sajie.journals.ac.za/pub/article/view/74 |