Analysis of criteria VaR and CVaR

被引：19

作者：

Kibzun, AI ^{[1
]}

Kuznetsov, EA ^{[1
]}

机构：

[1] Moscow Inst Aviat Technol, Dept Probabil Theory, Moscow 125993, Russia

来源：

JOURNAL OF BANKING & FINANCE | 2006年 / 30卷 / 02期

基金：

俄罗斯基础研究基金会;

关键词：

Value-at-Risk (quantile function); Conditional Value-at-Risk (integeral quantile function); criteria for decision-making under risk; convexity of VaR and CVaR; Stochastic programming; portfolio selection;

D O I：

10.1016/j.jbankfin.2005.04.003

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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. (c) 2005 Elsevier B.V. All rights reserved.

引用

页码：779 / 796

页数：18

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