Risk measures for the 21st century / edited by Giorgio Szegö.

Includes bibliographical references and index.

On the (non)acceptance of innovations / Giorgio Szegö -- The emperor has no clothes : limits to risk modelling / Jón Daníelsson -- Upgrading value-at-risk from diagnostic metric to decision variable : a wise thing to do? / Henk Grootveld and Winfried G. Hallerbach -- Concave risk measures in international capital regulation / Imre Kondor, András Szepessy and Tünde Ujvárosi -- Value-at-risk, expected shortfall and marginal risk contribution / Hans Rau-Bredow -- Risk measures for asset allocation models / Rosella Giacometti and Sergio Ortobelli Lozza -- Regulation and incentives for risk management in incomplete markets / Jón Daníelsson, Bjørn N. Jorgensen and Casper G. de Vries -- Granularity adjustment in portfolio credit risk measurement / Michael B. Gordy -- A comparison of value-at-risk models in finance / Simone Manganelli and Robert F. Engle -- Coherent representations of subjective risk-aversion / Carolo Acerbi -- Spectral risk measures for credit portfolios / Claudio Albanese and Stephan Lawi -- Dynamic convex risk measures / Marco Frittelli and Emanuela Rosazza Gianin -- A risk measure for income processes / Georg Ch. Pflug and Andrzej Ruszczyński -- Financial applications of copula functions / Jean-Frédéric Jouanin, Gaël Riboulet and Thierry Roncalli -- Hedge funds : a copula approach for risk management / Hélyette Geman and Cécile Kharoubi -- Change-point analysis for dependence structures in finance and insurance / Alexandra Dias and Paul Embrechts -- Derivative portfolio hedging based on CVaR / Siddharth Alexander, Thomas F. Coleman and Yuying Li -- Estimation of tail risk and portfolio optimisation with respect to extreme measures / Giorgio Consigli -- Risk return management approach for the bank portfolio / Ursula A. Theiler -- Capital allocation, portfolio enhancement and performance measurement : a unified approach / Winfried G. Hallerbach -- Pricing in incomplete markets : from absence of good deals to acceptable risk / Hélyette Geman and Dilip B. Madan.