Results 301 to 310 of about 692,395 (345)

Vom Value at Risk zum Conditional Value at Risk

2003
In 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, 2019
AbstractA 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., Guastaroba, G., Speranza, M. G.   +2 more
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Estimating value at risk and conditional value at risk for count variables

Quality and Reliability Engineering International, 2011
AbstractRisk 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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Conditional Value-at-Risk: Structure and complexity of equilibria

Theoretical Computer Science, 2017
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Mavronicolas, Marios, Monien, Burkhard, Mavronicolas, Marios, Monien, Burkhard   +3 more
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Conditional Value-at-Risk: Optimization Approach

2001
A new approach for optimization or hedging of a portfolio of finance instruments to reduce the risks of high losses is suggested and tested with several applications. As a measure of risk, Conditional Value-at-Risk (CVaR) is used. For several important cases, CVaR coincides with the expected shortfall (expected loss exceeding Values-at-Risk).
Stanislav Uryasev, R. Tyrrell Rockafellar   +1 more
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Simulating Sensitivities of Conditional Value at Risk

Management Science, 2009
Conditional 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.
Hong, Jeff Liu, Liu, Guangwu
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Value-at-Risk and Conditional Value-at-Risk in Optimization Under Uncertainty

2018
This work is related to the use of various risk measures in the context of robust- and reliability-based optimization. We start from the definition of risk measure and its formal setting, and then, we show how different risk functional definitions can lead to different approaches to the problem of optimization under uncertainty.
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Dynamic hedging of conditional value-at-risk

Insurance: Mathematics and Economics, 2012
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Melnikov, Alexander, Smirnov, Ivan
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Multitrend Conditional Value at Risk for Portfolio Optimization

IEEE Transactions on Neural Networks and Learning Systems
Trend representation has been attracting more and more attention recently in portfolio optimization (PO) via machine learning methods. It adopts concepts and phenomena from the field of empirical and behavioral finance when little prior knowledge is obtained or strict statistical assumptions cannot be guaranteed.
Zhao-Rong Lai, Cheng Li, Xiaotian Wu, Quanlong Guan, Liangda Fang   +4 more
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Analytical method of computing stressed value-at-risk with conditional value-at-risk

The Journal of Risk, 2016
This paper develops an analytical form of stressed value-at-risk (analytical SVaR), one of the most important changes implemented by Basel II, using conditional value-at-risk (CoVaR). We also validate analytical SVaR empirically and theoretically. The proposed analytical risk measure can be readily applied to the existing risk-management framework.
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