DEVELOPMENT OF A MORE APPLIED VERSION OF COHERENCY CALLED

Authors

  • M. Jasemi Department of Industrial Engineering, Amirkabir University of Technology
  • A.M. Kimiagari Department of Industrial Engineering, Amirkabir University of Technology
  • A. Memariani Department of Industrial Engineering, Bu-Ali Sina University

DOI:

https://doi.org/10.7166/21-1-74

Abstract

ENGLISH ABSTRACT: Coherency is becoming a necessary feature for any risk measure, and now is an acceptable tool in risk management to assess the risk measures. For example, recent studies have strongly criticised VaR-based models for not providing a coherent risk measure. Because of such acceptance, it is important to improve the efficiency of the touchstone for evaluating risk measures in order to achieve a fairer assessment. This is just the challenge that this paper seeks to address. This goal is achieved on the one hand by doing some simplifications in axioms of coherency without losing their major financial points, and on the other hand by removing the paradox between two of the axioms. The new concept is called

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Published

2011-11-05

How to Cite

Jasemi, M., Kimiagari, A., & Memariani, A. (2011). DEVELOPMENT OF A MORE APPLIED VERSION OF COHERENCY CALLED . The South African Journal of Industrial Engineering, 21(1). https://doi.org/10.7166/21-1-74

Issue

Vol. 21 No. 1 (2010)

Section

General Articles

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