Academic
Publications
Value-at-Risk vs. Conditional Value-at-Risk in Risk Management and Optimization

Value-at-Risk vs. Conditional Value-at-Risk in Risk Management and Optimization,Sergey Sarykalin,Gaia Serraino,Stan Uryasev

Value-at-Risk vs. Conditional Value-at-Risk in Risk Management and Optimization   (Citations: 2)
BibTex | RIS | RefWorks Download
From the mathematical perspective considered in this tutorial, risk management is a procedure for shaping a risk distribution. Popular functions managing risk are value- at-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, simplic- ity 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 sev- eral examples. We demonstrate risk management/optimization case studies conducted with the Portfolio Safeguard package.
Cumulative Annual
View Publication
The following links allow you to view full publications. These links are maintained by other sources not affiliated with Microsoft Academic Search.
Sort by: