| Popis: |
This article discusses the limitations of coherent risk measure, specifically the properties of positive homogeneity and subadditivity that impose an infinitely linear scale to amount of risk. In practice, super-additive risks arise from feedback-linked market, credit, and liquidity risks that connect financial market participants through a multi-level network of exposures. The properties of coherent risk measure only hold for an idealized market risk setting, where there is no ruin condition or finite economic value. |
