Results 261 to 270 of about 148,735 (300)

Distributionally robust reinsurance with Value-at-Risk and Conditional Value-at-Risk

Insurance: Mathematics and Economics, 2021
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Liu, Haiyan, Mao, Tiantian
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Kendall Conditional Value-at-Risk

2022
The Conditional Value-at-Risk (CoVaR) is a modified version of the Value-at-Risk (VaR) to quantify the risk of a random variable Y with respect to another random variable X. In this work, we consider a multivariate modification of CoVaR based on the Kendall distribution function.
Durante, Fabrizio, Gatto, Aurora, Perrone, Elisa   +2 more
openaire   +1 more source

Conditional tail behaviour and Value at Risk

Quantitative Finance, 2007
In 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, 2017
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Mavronicolas, Marios, Monien, Burkhard, Mavronicolas, Marios, Monien, Burkhard   +3 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.
L. Jeff Hong, Guangwu Liu
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Credit risk optimization with Conditional Value-at-Risk criterion

Mathematical Programming, 2001
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Fredrik Andersson, Helmut Mausser, Dan Rosen, Stanislav Uryasev   +3 more
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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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Forecasting value at risk and conditional value at risk using option market data

Journal of Forecasting, 2020
AbstractWe 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, through the ...
Annalisa Molino, Carlo Sala
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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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Asymptotic representations for importance-sampling estimators of value-at-risk and conditional value-at-risk

Operations Research Letters, 2010
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Lihua Sun, L. Jeff Hong
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