Risk Measures in Quantitative Finance

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dc.creatorMitra, Sovan
dc.date2009-04-06
dc.date.accessioned2026-07-07T13:00:47Z
dc.date.available2026-07-07T13:00:47Z
dc.descriptionThis paper was presented and written for two seminars: a national UK University Risk Conference and a Risk Management industry workshop. The target audience is therefore a cross section of Academics and industry professionals. The current ongoing global credit crunch has highlighted the importance of risk measurement in Finance to companies and regulators alike. Despite risk measurement's central importance to risk management, few papers exist reviewing them or following their evolution from its foremost beginnings up to the present day risk measures. This paper reviews the most important portfolio risk measures in Financial Mathematics, from Bernoulli (1738) to Markowitz's Portfolio Theory, to the presently preferred risk measures such as CVaR (conditional Value at Risk). We provide a chronological review of the risk measures and survey less commonly known risk measures e.g. Treynor ratio.
dc.identifierhttps://arxiv.org/abs/0904.0870
dc.identifierhttp://arxiv.org/abs/0904.0870
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/225950
dc.subjectRisk Management
dc.subjectGeneral Finance
dc.subjectPortfolio Management
dc.titleRisk Measures in Quantitative Finance
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