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Do you think that there exists a framework on that you can build risk measures? What are the necessary and desirable properties of a risk measure? (necessary means compulsory and desirable means more than necessary).

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  • $\begingroup$ You can search for the coherent risk measures. Of particular interest is the property of subadditivity, which has enhanced a great debate on whether VaR is appropriate and so on. $\endgroup$ May 3, 2019 at 6:10

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