ADELA, BAHO and ALAIN, RUTTIENS (2014) PROBABILITY AND PERTINENCE. In: Second International Conference on Advances In Social Science, Management and Human Behaviour - SMHB 2014, 25 - 26 October, 2014, Zurich, Switzerland.

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In our today culture, the availability of a quantitative measure is highly comforting, without to speak about the opportunity that such a quantitative measure represents within the framework of developing quantitative, descriptive models, in the financial, economic or any other field. However, one should be wary about the comfort of a quantitative measure, which may be fallacious in some cases, to the extent that it could seriously affect some decision/management process. In this paper, we are concerned with a specific subset of quantitative measures, namely, probability measures, in the particular case of (very) low probabilities. This paper is about the pertinence of such a (very) low probability measure: to what extent is this measure pertinent, with respect to its use, in financial, or, more generally, economic decisions? We propose a quantitative measure of this degree of pertinence, and apply it to an example of Value-at-Risk calculation.

Item Type: Conference or Workshop Item (Paper)
Depositing User: Mr. John Steve
Date Deposited: 29 May 2019 07:58
Last Modified: 29 May 2019 07:58

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