Results 301 to 310 of about 692,083 (345)

Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Risk

ACM Transactions on Modeling and Computer Simulation, 2014
Value-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 ...
Hong, Jeff Liu, Hu, Zhaolin, Liu, Guangwu   +2 more
openaire   +3 more sources

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
openaire   +1 more source

Credit risk optimization with Conditional Value-at-Risk criterion

Mathematical Programming, 2001
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Andersson, Fredrik, Mausser, Helmut, Rosen, Dan, Uryasev, Stanislav   +3 more
openaire   +2 more sources

Risk factor beta conditional value‐at‐risk

Journal of Forecasting, 2008
AbstractWe propose a new approach to the estimation of the portfolio Value‐at‐Risk. Based on the assumption that the same macroeconomic factors affect returns of all assets in a portfolio, this methodology allows the generation of the sequence of hypothetical future equilibrium portfolio returns given the historical values of the underlying ...
openaire   +1 more source

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
openaire   +1 more source

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.
openaire   +1 more source

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
openaire   +3 more sources

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
openaire   +1 more source

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
openaire   +2 more sources

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.
openaire   +1 more source