Article ID Journal Published Year Pages File Type
5091622 Journal of Banking & Finance 2006 18 Pages PDF
Abstract
Criteria VaR (Value-at-Risk) and CVaR (Conditional Value-at-Risk), which are well-known in financial mathematics, are compared. Some connection between them is established. Ways of choice a level of confidence probability for the quantile optimization problem are suggested. The ways are based on some equations of balance between VaR and CVaR. Examples are discussed.
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Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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Analysis of criteria VaR and CVaR
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