ABSTRACT
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T HIS CHAPTER IS A GUIDED TOUR of the recent (sometimes very technical) literature onCoherent Risk Measures (CRMs). Our purpose is to review the theory of CRMs from the perspective of practical risk management applications. We have tried to single out those
results from the theory which help to understand which CRMs can today be considered as
realistic candidate alternatives to Value at Risk (VaR) in financial risk management practice.
This has also been the spirit of the author’s research line in recent years Acerbi 2002, Acerbi
and Simonetti 2002, Acerbi and Tasche 2002a, b (see Acerbi 2003 for a review).
