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Value-at-Risk vs. Conditional Value-at-Risk in Risk Management and Optimization
Company: Tutorials In Operations Research
Company Url: Click here to open
Year Of Publication: 2008
Month Of Publication: January
Pages: 270-294
Download Count: 55
View Count: 2143
Comment Num: 0
Language: English
Who Can Read: Free
Date: 5-9-2010
Publisher: Administrator
Summary
From the mathematical perspective considered in this tutorial, risk management is a
procedure for shaping a risk distribution. Popular functions managing risk are valueat-
risk (VaR) and conditional value-at-risk (CVaR). The problem of choice between
VaR and CVaR, especially in financial risk management, has been quite popular in
academic literature. Reasons affecting the choice between VaR and CVaR are based on
the differences in mathematical properties, stability of statistical estimation, simplicity
of optimization procedures, acceptance by regulators, etc. This tutorial presents
our personal experience working with these key percentile risk measures. We try to
explain strong and weak features of these risk measures and illustrate them with several
examples. We demonstrate risk management/optimization case studies conducted
with the Portfolio Safeguard package.
Author(s)
Serraino, Gaia Sign in to follow this author
Uryasev, Stanislav Sign in to follow this author
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