| Article ID: | iaor200674 |
| Country: | Netherlands |
| Volume: | 163 |
| Issue: | 1 |
| Start Page Number: | 5 |
| End Page Number: | 19 |
| Publication Date: | May 2005 |
| Journal: | European Journal of Operational Research |
| Authors: | Szeg Giorgio |
| Keywords: | measurement |
The conditions under which the classical measures of risk like the mean, the linear correlation coefficient and VaR can be used are discussed. The definition of risk measure and the main recently proposed risk measures are presented. The problems connected with co-dependence are outlined.