Tagged Questions
3
votes
0answers
171 views
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 ...
5
votes
1answer
450 views
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 ...
10
votes
3answers
792 views
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} ...
10
votes
4answers
1k views
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 ...
