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10 relations: Coherent risk measure, Discounting, Essential supremum and essential infimum, Expected shortfall, Interest rate, Order statistic, Portfolio (finance), Present value, Probability space, Risk measure.
Coherent risk measure
In the fields of actuarial science and financial economics there are a number of ways that risk can be defined; to clarify the concept theoreticians have described a number of properties that a risk measure might or might not have.
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Discounting
Discounting is a financial mechanism in which a debtor obtains the right to delay payments to a creditor, for a defined period of time, in exchange for a charge or fee.
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Essential supremum and essential infimum
In mathematics, the concepts of essential supremum and essential infimum are related to the notions of supremum and infimum, but adapted to measure theory and functional analysis, where one often deals with statements that are not valid for all elements in a set, but rather almost everywhere, i.e., except on a set of measure zero.
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Expected shortfall
Expected shortfall (ES) is a risk measure—a concept used in the field of financial risk measurement to evaluate the market risk or credit risk of a portfolio.
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Interest rate
An interest rate is the amount of interest due per period, as a proportion of the amount lent, deposited or borrowed (called the principal sum).
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Order statistic
In statistics, the kth order statistic of a statistical sample is equal to its kth-smallest value.
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Portfolio (finance)
In finance, a portfolio is a collection of investments held by an investment company, hedge fund, financial institution or individual.
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Present value
In economics and finance, present value (PV), also known as present discounted value, is the value of an expected income stream determined as of the date of valuation.
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Probability space
In probability theory, a probability space or a probability triple (\Omega, \mathcal, P) is a mathematical construct that models a real-world process (or “experiment”) consisting of states that occur randomly.
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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.
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Maximum loss, Worst case risk, Worst case risk measure, Worst-case risk, Worst-case risk measure.
