Chapter 3. Measures of risk

  1. Harry H. Panjer

Published Online: 6 MAR 2006

DOI: 10.1002/0470051310.ch3

Operational Risk: Modeling Analytics

Operational Risk: Modeling Analytics

How to Cite

Panjer, H. H. (2006) Measures of risk, in Operational Risk: Modeling Analytics, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/0470051310.ch3

Publication History

  1. Published Online: 6 MAR 2006
  2. Published Print: 25 AUG 2006

ISBN Information

Print ISBN: 9780471760894

Online ISBN: 9780470051313

SEARCH

Keywords:

  • Value-at-Risk (VaR);
  • risk based capital (RBC);
  • Tail-Value-at-Risk (TVaR);
  • Conditional-Value-at-Risk (CVaR);
  • Expected Shortfall (ES)

Summary

This chapter contains sections titled:

  • Introduction

  • Risk Measures

  • Tail-Value-at-Risk