Standard Article

Classic Financial Risk Measures

  1. Arcady Novosyolov

Published Online: 14 JAN 2011

DOI: 10.1002/9780470400531.eorms0143

Wiley Encyclopedia of Operations Research and Management Science

Wiley Encyclopedia of Operations Research and Management Science

How to Cite

Novosyolov, A. 2011. Classic Financial Risk Measures. Wiley Encyclopedia of Operations Research and Management Science. .

Author Information

  1. Siberian Federal University, Institute of Mathematics, Krasnoyarsk, Russia

Publication History

  1. Published Online: 14 JAN 2011

Abstract

The article presents classic methods for measuring financial risk or support decision making under risk, including probability of undesired event, mean value, expected utility, mean-variance based functionals and value-at-risk. Basic concepts are explained using examples and pictures rather than formal definitions. The article concludes with further reading suggestions.

Keywords:

  • decision making;
  • risk;
  • return;
  • risk measure;
  • probability distribution;
  • variance;
  • standard deviation;
  • expected utility;
  • diversification;
  • preference;
  • portfolio selection;
  • value-at-risk