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...
| Main Authors: | , , |
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| Other Authors: | |
| Format: | Thesis |
| Published: |
2008
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| Online Access: | http://hdl.handle.net/10356/7633 |
| _version_ | 1811693326466809856 |
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| author | Brynjar Bustnes. Koong, Chee Seng. Lee, Ho Sung. |
| author2 | Charoenwong, Charlie |
| author_facet | Charoenwong, Charlie Brynjar Bustnes. Koong, Chee Seng. Lee, Ho Sung. |
| author_sort | Brynjar Bustnes. |
| collection | NTU |
| 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). |
| first_indexed | 2024-10-01T06:49:54Z |
| format | Thesis |
| id | ntu-10356/7633 |
| institution | Nanyang Technological University |
| last_indexed | 2024-10-01T06:49:54Z |
| publishDate | 2008 |
| record_format | dspace |
| spelling | ntu-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 |
| spellingShingle | DRNTU::Business::Operations management::Risk management Brynjar Bustnes. Koong, Chee Seng. Lee, Ho Sung. Risk measures : in search of the Holy Grail. |
| title | 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_short | Risk measures : in search of the Holy Grail. |
| title_sort | risk measures in search of the holy grail |
| topic | DRNTU::Business::Operations management::Risk management |
| url | http://hdl.handle.net/10356/7633 |
| work_keys_str_mv | AT brynjarbustnes riskmeasuresinsearchoftheholygrail AT koongcheeseng riskmeasuresinsearchoftheholygrail AT leehosung riskmeasuresinsearchoftheholygrail |