Groupe d’études et de recherche en analyse des décisions


Trade-Off Between Robust Risk Measurement and Market Principals

Cont et al. 2007 recently showed that coherent risk measures are not robust with respect to changes in large data. In this paper we show that robust risk measures always generate pathological financial positions called "Good Deals". We also introduce the minimal distribution invariant modification of risk measures and study their robustness and sensitivity.

, 16 pages