Minerva Investment Management Society

Quantitative Research Paper

Coherent Risk Measures

· Quantitative Research

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Summary

During this semester the Quantitative Research team explored coherent risk measures and their mathematical properties. In this report they focus on the Conditional VaR and outline a practical framework for its estimation, that is consistent with Extreme Value Theory. Moreover, they introduce the Entropic VaR and highlight its computational tractability.

Authors

  • Umberto BarbieriHead of Quantitative Research
  • Antonio PetraiQuantitative Research Analyst
  • Enrico SammarcoQuantitative Research Analyst
  • Erik VikQuantitative Research Analyst

Details

Published
4 March 2024
Division
Quantitative Research
Type
Quantitative Research Paper
Pages
11
Authors
4

Cite this report

Minerva Investment Management Society (2024). Coherent Risk Measures. Quantitative Research. https://minervaims.org/archive/coherent-risk-measures-2024

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