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  2. Coherent risk measure - Wikipedia

    en.wikipedia.org/wiki/Coherent_risk_measure

    That is, if portfolio always has better values than portfolio under almost all scenarios then the risk of should be less than the risk of . [2] E.g. If is an in the money call option (or otherwise) on a stock, and is also an in the money call option with a lower strike price.

  3. Risk matrix - Wikipedia

    en.wikipedia.org/wiki/Risk_matrix

    Risk is the lack of certainty about the outcome of making a particular choice. Statistically, the level of downside risk can be calculated as the product of the probability that harm occurs (e.g., that an accident happens) multiplied by the severity of that harm (i.e., the average amount of harm or more conservatively the maximum credible amount of harm).

  4. Downside risk - Wikipedia

    en.wikipedia.org/wiki/Downside_risk

    This shows that the CAPM can be modified by incorporating downside beta, which measures downside risk, in place of regular beta to correctly reflect what people perceive as risk. [8] Since the early 1980s, when Dr. Frank Sortino developed formal definition of downside risk as a better measure of investment risk than standard deviation, downside ...

  5. Risk measure - Wikipedia

    en.wikipedia.org/wiki/Risk_measure

    In financial mathematics, a risk measure is used to determine the amount of an asset or set of assets (traditionally currency) to be kept in reserve. The purpose of this reserve is to make the risks taken by financial institutions , such as banks and insurance companies, acceptable to the regulator .

  6. Probabilistic risk assessment - Wikipedia

    en.wikipedia.org/wiki/Probabilistic_risk_assessment

    One point of possible objection interests the uncertainties associated with a PSA. The PSA (Probabilistic Safety Assessment) has often no associated uncertainty, though in metrology any measure shall be related to a secondary measurement uncertainty, and in the same way any mean frequency number for a random variable shall be examined with the dispersion inside the set of data.

  7. Entropic risk measure - Wikipedia

    en.wikipedia.org/wiki/Entropic_risk_measure

    However, in practice it would be difficult to use since quantifying the risk aversion for an individual is difficult to do. The entropic risk measure is the prime example of a convex risk measure which is not coherent. [1] Given the connection to utility functions, it can be used in utility maximization problems.

  8. Hazard analysis - Wikipedia

    en.wikipedia.org/wiki/Hazard_analysis

    The first step in hazard analysis is to identify the hazards. If an automobile is an object performing an activity such as driving over a bridge, and that bridge may become icy, then an icy bridge might be identified as a hazard.

  9. Dynamic risk measure - Wikipedia

    en.wikipedia.org/wiki/Dynamic_risk_measure

    A dynamic risk measure is a risk measure that deals with the question of how evaluations of risk at different times are related. It can be interpreted as a sequence of conditional risk measures. [1] A different approach to dynamic risk measurement has been suggested by Novak. [2]