Details
| Original language | English |
|---|---|
| Pages (from-to) | 301-337 |
| Number of pages | 37 |
| Journal | Annual Review of Financial Economics |
| Volume | 7 |
| Publication status | Published - 7 Dec 2015 |
Abstract
The quantification of downside risk in terms of capital requirements is a key issue for both regulators and the financial industry. This review presents the axiomatic approach, which is based on monetary risk measures. These provide a unifying mathematical framework for the determination of capital requirements, for economic indices of riskiness, and for the analysis of preferences in the face of risk and Knightian uncertainty. In the special case of distribution-based risk measures, we review recent advances in characterizing their statistical properties such as elicitability and robustness.
Keywords
- Capital requirements, Elicitability, Indices of riskiness, Monetary risk measures, Robustness, Variational preferences
ASJC Scopus subject areas
- Economics, Econometrics and Finance(all)
- Finance
- Economics, Econometrics and Finance(all)
- Economics and Econometrics
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In: Annual Review of Financial Economics, Vol. 7, 07.12.2015, p. 301-337.
Research output: Contribution to journal › Review article › Research › peer review
}
TY - JOUR
T1 - The Axiomatic Approach to Risk Measures for Capital Determination
AU - Föllmer, Hans
AU - Weber, Stefan
N1 - Publisher Copyright: ©2015 by Annual Reviews. All rights reserved.
PY - 2015/12/7
Y1 - 2015/12/7
N2 - The quantification of downside risk in terms of capital requirements is a key issue for both regulators and the financial industry. This review presents the axiomatic approach, which is based on monetary risk measures. These provide a unifying mathematical framework for the determination of capital requirements, for economic indices of riskiness, and for the analysis of preferences in the face of risk and Knightian uncertainty. In the special case of distribution-based risk measures, we review recent advances in characterizing their statistical properties such as elicitability and robustness.
AB - The quantification of downside risk in terms of capital requirements is a key issue for both regulators and the financial industry. This review presents the axiomatic approach, which is based on monetary risk measures. These provide a unifying mathematical framework for the determination of capital requirements, for economic indices of riskiness, and for the analysis of preferences in the face of risk and Knightian uncertainty. In the special case of distribution-based risk measures, we review recent advances in characterizing their statistical properties such as elicitability and robustness.
KW - Capital requirements
KW - Elicitability
KW - Indices of riskiness
KW - Monetary risk measures
KW - Robustness
KW - Variational preferences
UR - http://www.scopus.com/inward/record.url?scp=84923305416&partnerID=8YFLogxK
U2 - 10.1146/annurev-financial-111914-042031
DO - 10.1146/annurev-financial-111914-042031
M3 - Review article
AN - SCOPUS:84923305416
VL - 7
SP - 301
EP - 337
JO - Annual Review of Financial Economics
JF - Annual Review of Financial Economics
SN - 1941-1367
ER -