The Equipollent Theorem on Risk Measure: Tail Conditional Expectation,Worst Conditional Expectation, Expected Shortfall
Tang Xiang-jin, LI Chi-lin · Gongcheng shuxue xuebao · 2003
Risk management is one of the top priorities in the financial industry today. The research of quantitating risk is one of risk management's center. From variance-covariance, value-at-risk to conditional risk measures (conditional value at risk, tail conditional expectation, worst conditional expectation, expected shortfall), they have be gradually accepted and applied to financial industry and non-financial industry. This paper research relations among conditional risk measures and present a necessary and sufficient condition on equivalency among them.