properties and limitations of common risk measures, including Value at Risk (VaR) Tail Value at Risk (TVaR) Probability of ruin Expected shortfal Describe how to choose a suitable time horizon and risk discount rate Readings: ActEd ST9: Chapter 10 Sweeting: Ch1, section 1.6 Sweeting: Ch13, section 13.6 Sweeting: Ch15, section 15.4 Tim Higgins Enterprise Risk Management 2 - WEEK 1 Properties of Risk Measures A risk measure is an operation that assigns a value to a risk Coherence: Monotonicity If L1 ≤ L2…
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