A Periodic Table of Risk Measures – Version 2

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A periodic table of risk measures is such a good idea I wish I’d thought of it first, but, sadly, I can’t claim credit. Bruce Feibel introduced the idea to me at a conference in 20121. There are so many different risk measures available to performance analysts that to fully appreciate the relative merits of each measure it makes sense to attempt to categorize them into some sort of logical structure.

A Periodic Table of Risk Measures – Version 2
Carl Bacon, CIPM, StatPro

 

A periodic table of risk measures is such a good idea I wish I’d thought of it first, but, sadly, I can’t claim credit. Bruce Feibel introduced the idea to me at a conference in 20121. There are so many different risk measures available to performance analysts that to fully appreciate the relative merits of each measure it makes sense to attempt to categorize them into some sort of logical structure. The following periodic table is my attempt to build on Bruce’s idea. I don’t suggest all of these measures have merit. Some don’t, many are in common usage, a few you’ll only find in academic articles, and some are new, but risk is in the eye of the beholder, and in this article I’m attempting to classify each measure appropriately.

A Periodic Table of Risk Measures – Version 2
Carl Bacon, CIPM, StatPro

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