# Measures of financial risk

Book chapter

Novak, S. 2016. Measures of financial risk. in: Longin, F. (ed.) Extreme Events in Finance: A Handbook of Extreme Value Theory and its Applications Wiley. pp. 215-237

Chapter title | Measures of financial risk |
---|---|

Authors | Novak, S. |

Abstract | The paper compares a number of available measures of financial risk and presents arguments in favor of a dynamic measure of risk. We argue that traditional measures are static, while the dynamic measure of risk lacks statistical scrutiny. The main obstacle to building a body of empirical evidence in support of the dynamic risk measure is computational difficulty of identifying local extrema as price charts appear objects of fractal geometry. |

Language | English |

Page range | 215-237 |

Book title | Extreme Events in Finance: A Handbook of Extreme Value Theory and its Applications |

Editors | Longin, F. |

Publisher | Wiley |

Series | Wiley Handbooks in Financial Engineering and Econometrics |

ISBN | |

Hardcover | 9781118650196 |

Publication dates | |

Online | 07 Oct 2016 |

Publication process dates | |

Deposited | 12 Sep 2016 |

Accepted | 03 Jan 2016 |

Output status | Published |

Publisher's version | |

Copyright Statement | Copyright © 2017 by John Wiley & Son. |

Additional information | How to measure risk dynamically? |

Digital Object Identifier (DOI) | https://doi.org/10.1002/9781118650318.ch10 |

https://repository.mdx.ac.uk/item/86976

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