价值(数学)
经济
计量经济学
风险价值
统计
数学
精算学
风险管理
财务
作者
R. T. Rockafellar,Stan Uryasev
标识
DOI:10.1016/s0378-4266(02)00271-6
摘要
Fundamental properties of conditional value-at-risk (CVaR), as a measure of risk with significant advantages over value-at-risk (VaR), are derived for loss distributions in finance that can involve discreetness. Such distributions are of particular importance in applications because of the prevalence of models based on scenarios and finite sampling. CVaR is able to quantify dangers beyond VaR and moreover it is coherent. It provides optimization short-cuts which, through linear programming techniques, make practical many large-scale calculations that could otherwise be out of reach. The numerical efficiency and stability of such calculations, shown in several case studies, are illustrated further with an example of index tracking.
科研通智能强力驱动
Strongly Powered by AbleSci AI