# Tagged Questions

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### What is a “coherent” risk measure?

What is a coherent risk measure, and why do we care? Can you give a simple example of a coherent risk measure as opposed to a non-coherent one, and the problems that a coherent measure addresses in ...
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### Is Conditional Value-at-Risk (CVaR) coherent?

When the risk is defined by a discrete random variable, is CVaR a coherent risk measure? I stick to the following definition of CVaR:  CVaR_\alpha(R) = \min_v \quad \left\{ v + \frac{1}{1-\alpha} \...
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### Gamma vs. Volatility Risk

Original Question: What is the link between Gamma and the Volatility Risk? It leads me to ask: - What is the Volatility Risk definition and what are the good practices to measure it? Thinking about ...
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### Examples of Spectral Risk Measures

Let's take the usual definition of a spectral risk measure. If we look at the integral we see that spectral risk measures have the property that the risk measure of a random variable $X$ can be ...
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### What is the meaning of subadditivity in a risk measure?

The subadditivity reads: $\rho(X_1+X_2) \leq \rho(X_1) + \rho(X_2)$ What is the meaning of this condition? I can vaguely accept that one should diversify the investment portfolio. Or, I can ...
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### Which is a more appropriate choice of risk measurement in a utility function, CVaR or VaR?

What is the consensus on which risk measure to use in measuring portfolio risk? I am researching what is the best risk measure to use in a portfolio construction process for a long/short option-free ...
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### Value at Risk backtesting (kupiec)

I m doing my research on estimating Value at risk using different assumptions on volatility and then compare my results based on backtesting. I obtained results and just on question based on my ...
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### Does a coherent risk measure satisfy the four axioms of von Neumannâ€“Morgenstern?

What is the relationship between the axioms of Artzner et al (1999) for coherent risk measures and the axioms of von Neumann-Morgenstern (1944) for the expected utility theory?
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### Is volatility really a coherent risk measure?

Why people say that volatility is a coherent risk measure? I don't see it clearly because what happen if the two assets are correlated positively? subadditivity would not be preserved. That ...
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### annual excess returns from CAPM on monthly total returns

I want to calculate annual excess returns on portfolios using monthly returns for a CAPM (for the assets in the portfolio as well as for the benchmark), in order to have more information on the ...
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### Portfolio insurance with a coherent risk measure (CVaR)

I would like to analysis of portfolio insurance under a coherent risk-measure method (CVaR), How can I achieve that? Is there a way to turn the problem into a linear programming problem? or to ...