Measures of financial risk
Serguei Novak – School of Science & Technology & MDX University of London

The paper compares a number of available measures of financial risk and presents arguments in favour of a dynamic measure of risk. We argue that traditional measures are static, while the dynamic measure of risk lacks statistical scrutiny. The main obstacle to building a body of empirical evidence in support of the dynamic risk measure is computational difficulty of identifying local extrema as price charts appear objects of fractal geometry. We overview approaches to financial risk measurement and formulate a number of open questions. The arguments are illustrated on examples of real data.

Dr S.Novak research interests include Probability Theory, Non-parametric Statistics and Quantitative Finance.
Recent publications: Extreme Value Methods with Applications to Finance. CRC Press, 2011. 399 pp. Chapman & Hall/CRC Monographs on Statistics & Applied Probability. To know more…