Classic Financial Risk Measures
Published Online: 14 JAN 2011
Copyright © 2010 John Wiley & Sons, Inc. All rights reserved.
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. .
- Published Online: 14 JAN 2011
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.
- decision making;
- risk measure;
- probability distribution;
- standard deviation;
- expected utility;
- portfolio selection;