Verify that a risk measure satisfies the four axioms of coherence: sub-additivity, monotonicity, positive homogeneity, and translation invariance. Test VaR vs. ES for portfolio applications.
Enter the values for the scenario you are assessing. Verify that a risk measure satisfies the four axioms of coherence: sub-additivity, monotonicity, positive homogeneity, and translation invariance. Test VaR vs. ES for portfolio applications. Use the coherent risk measure result to inform your calculation.