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 |
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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. |
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 |
Language | English |
https://repository.mdx.ac.uk/item/86976
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