Tài liệu Thư viện số

Danh mục TaiLieu.VN

Conditional Value-at-Risk (CVaR): Algorithms and ApplicationsStan UryasevRisk Management and

- simple convenient representation of risks (one number)
- measures downside risk (compared to variance which is impacted by high returns)
- applicable to nonlinear instruments, such as options, with non-mymmetric (non-normal) loss distributions
- may provide inadequate picture of risks: does not measure losses exceeding VaR (e.g., excluding or doubling of big losses in November 1987 may not impact VaR historical estimates)

Từ khóa: risk management, value-at-risk, definition of conditional value-at-risk, risk management with CVaR functions, hedging, conditional Drawdown-at-Risk

67 p tieuhoa 08/01/2013 308 2

Bình luận