Comparison and Application of VaR and CVaR in Risk Management

被引：0

作者：

Yang Jie ^{[1
]}

Zhang Shaozong ^{[2
]}

Li Yan ^{[1
]}

机构：

[1] Yunnan Normal Univ, Sch Econ & Management, Kunming, Peoples R China

[2] Yunnan Normal Univ, Sch Math Sci, Kunming, Yunnan, Peoples R China

来源：

EBM 2010: INTERNATIONAL CONFERENCE ON ENGINEERING AND BUSINESS MANAGEMENT, VOLS 1-8 | 2010年

关键词：

VaR; CVaR; risk management; comparison; optimization;

D O I：

暂无

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

Value at risk (VaR) and conditional value at risk (CVaR) are the most frequently used risk measures in current risk management practice. As an alternative to VaR, CVaR is attractive since it is a coherent risk measure. This paper recalls the development of financial risk measurement, and compares the advantages and disadvantages between VaR model and CVaR model.

引用

页码：3912 / +

页数：2