Risk Measures
Risk Measures
Looking for an examination copy?
This title is not currently available for examination. However, if you are interested in the title for your course we can consider offering an examination copy. To register your interest please contact collegesales@cambridge.org providing details of the course you are teaching.
$39.99
USDProviding comprehensive yet accessible coverage, this is the first graduate-level textbook dedicated to the mathematical theory of risk measures. It explains how economic and financial principles result in a profound mathematical theory that allows us to quantify risk in monetary terms, giving rise to risk measures. Each chapter is designed to match the length of one or two lectures, covering the core theory in a self-contained manner, with exercises included in every chapter. Additional material sections then provide further background and insights for those looking to delve deeper. This two-layer modular design makes the book suitable as the basis for diverse lecture courses of varying length and level, and a valuable resource for researchers.
- Provides a systematic account of basic theory of risk measures with emphasis on duality results
- Includes a range of exercises, for use in class or for self-study
- Requires an understanding of measure-theoretic probability and basic concepts from functional analysis
Product details
February 2026Paperback
9781009710930
211 pages
229 × 152 mm
0.25kg
Not yet published - available from February 2026
Table of Contents
- Introduction
- 1. Gains, quantiles and Value-at-Risk
- 2. Monetary property and acceptance sets
- 3. Diversification, convexity and coherence
- 4. Average-Value-at-Risk
- 5. Dual representation of convex and coherent risk measures
- 6. Representation theorems for risk measures on $L_p$-spaces
- 7. Constructions of risk measures
- 8. Law-determined risk measures
- 9. Law-determined risk measures on $L_p$-spaces
- 10. Comonotonicity and Choquet integrals
- 11. Coherent comonotonic additive risk measures
- 12. Multivariate risk measures
- List of representations of coherent risk measures
- List of important law-determined risk measures
- References
- Index.
