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Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Risk
ACM Transactions on Modeling and Computer Simulation, 2014Value-at-risk (VaR) and conditional value-at-risk (CVaR) are two widely used risk measures of large losses and are employed in the financial industry for risk management purposes. In practice, loss distributions typically do not have closed-form expressions, but they can often be simulated (i.e., random observations of the loss distribution may be ...
Guangwu Liu, Zhaolin Hu, L Jeff Hong
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Conditional tail behaviour and Value at Risk
Quantitative Finance, 2007In this paper we study the tail behaviour of eight major market indexes stratifying data according to the violation of a high threshold on the previous day. The distributional differences found can be exploited to improve VaR calculations in several settings, giving rise to what we call ‘MCVaR’.
Bellini F., FIGA' TALAMANCA, GIANNA
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Conditional Value-at-Risk: Structure and complexity of equilibria
Theoretical Computer Science, 2017zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Mavronicolas, Marios +3 more
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Simulating Sensitivities of Conditional Value at Risk
Management Science, 2009Conditional value at risk (CVaR) is both a coherent risk measure and a natural risk statistic. It is often used to measure the risk associated with large losses. In this paper, we study how to estimate the sensitivities of CVaR using Monte Carlo simulation.
L. Jeff Hong, Guangwu Liu
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Estimating value at risk and conditional value at risk for count variables
Quality and Reliability Engineering International, 2011AbstractRisk management and risk measures like value at risk and conditional value at risk originated in the financial and insurance industries. In recent years, the interest in risk management and risk measurement has spread over all industrial sectors. Finance and insurance applications focused on continuous data like financial return, profit or loss.
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Forecasting value at risk and conditional value at risk using option market data
Journal of Forecasting, 2020Abstract We forecast monthly value at risk (VaR) and conditional value at risk (CVaR) using option market data and four different econometric techniques. Independent from the econometric approach used, all models produce quick to estimate forward‐looking risk measures that do not depend from the amount of historical data used and that,
Annalisa Molino, Carlo Sala
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Vom Value at Risk zum Conditional Value at Risk
2003In diesem hinfuhrenden Abschnitt werden mehr oder weniger zufallig ausgewahlte Zitate von Beschreibungen bzw. Definitionen des Value at Risk aufgefuhrt. Sie stellen keine Voraussetzungen fur die nachfolgenden Ausfuhrungen dar, sie mogen vielmehr die Vielfalt der Aspekte und deren Breite verdeutlichen.
Werner Dinkelbach, Andreas Kleine
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Conditional value‐at‐risk beyond finance: a survey
International Transactions in Operational Research, 2019Abstract A large number of problems involve making decisions in an uncertain environment and, hence, with unknown outcomes. Optimization models aimed at controlling the trade‐off between risk and return in finance have been widely studied since the seminal work by Markowitz in 1952.
Filippi, C. +2 more
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Operations Research Letters, 2010
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Lihua Sun, L. Jeff Hong
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zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Lihua Sun, L. Jeff Hong
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Deviation inequalities for an estimator of the conditional value-at-risk
Operations Research Letters, 2010zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Ying Wang, Fuqing Gao
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