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Printable Handouts
Navigable Slide Index
- Introduction
- Definitions of risk - outline
- Risk in Terms of Distributions (1)
- Distributional properties (1)
- Distributional properties (2)
- Distributional properties (3)
- Distributional properties and utility
- Example (1)
- Example (2)
- Example (3)
- Distributional characteristics:impact on port.choice
- First order stochastic dominance (1)
- First order stochastic dominance (2)
- Comparing the probability distribution functions
- Example of first order stochastic dominance
- First order stochastic dominance (3)
- Second order stochastic dominance (1)
- Second order stochastic dominance (2)
- Difference between distribution functions
- Integrating the difference
- Second order stochastic dominance (3)
- Summary of part 1
- Axiomatic approach
- Definition of risk (1)
- Definition of risk (2)
- Risk measure
- Risk measure - single number benefits
- Risk measure Rho (1)
- Risk measure Rho (2)
- Translation invariance
- Sub - additivity
- Positive homogeneity
- Monotonicity
- Relevance
- Coherent risk measures
- Current method for measuring risk
- VaR method
- The VaR measure satisfies the...
- VaR and sub - additivity (1)
- VaR and sub - additivity (2)
- VaR and sub - additivity (3)
- VaR and sub - additivity (4)
- VaR and sub - additivity (5)
- VaR and sub - additivity (6)
- VaR and sub - additivity (7)
- TailVaR
- Worst conditional expectation
- TailVaR versus WCE
- Summary part 2
- Risk in terms of utility (1)
- Rothschild - Stiglitz Theorem on risk
- Example
- Law of iterated expectations
- Back to Rothschild - Stiglitz Theorem
- Rothschild - Stiglitz Theorem
- Less risky portfolios have smaller variance
- Two - fund separation
- Two - fund separation follows from Stiglitz theorem
- Summary of part 3
- Conclusions
Topics Covered
- Distributional properties of risk
- Variance
- Risk aversion and variance aversion
- First order stochastic dominance
- Second order stochastic dominance
- Axiomatic approach to risk measures
- Risk as a choice variable
- Acceptable and non-acceptable risk
- Single-dimensional risk measures
- Risk measure and risk capital
- Coherent risk measurers
- Value-at-Risk (VaR) is not coherent
- TailVaR and worst conditional expectations
- Rothschild/Stiglitz increasing risk
- Conclusions: risk definition depends on context and purpose
Talk Citation
Instefjord, N. (2007, October 1). Definitions of risk [Video file]. In The Business & Management Collection, Henry Stewart Talks. Retrieved November 13, 2024, from https://doi.org/10.69645/ULTB7664.Export Citation (RIS)