J
Jean-Marc Eber
Publications - 4
Citations - 9231
Jean-Marc Eber is an academic researcher. The author has contributed to research in topics: Coherent risk measure & Dynamic risk measure. The author has an hindex of 4, co-authored 4 publications receiving 8519 citations.
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Coherent Measures of Risk
TL;DR: In this paper, the authors present and justify a set of four desirable properties for measures of risk, and call the measures satisfying these properties "coherent", and demonstrate the universality of scenario-based methods for providing coherent measures.
Journal ArticleDOI
Coherent multiperiod risk adjusted values and Bellman’s principle
TL;DR: In this article, a time-0 coherent risk measure is defined for value processes and two other constructions of measurement processes are given in terms of sets of test probabilities, when the sets fulfill a stability condition also met in multi-period treatment of ambiguity as in decision-making.
Coherent multiperiod risk measurement
TL;DR: In this paper, a multi-period extension of the Tail VaR model is presented, which takes into account intermediate monitoring by supervisors or shareholders of a locked-in position, the possibility of intermediate actions, availability of extraneous cash flows, of possible capital inor outflows require handling sequences of unknown future values.