Analysis of criteria VaR and CVaR
Analysis of criteria VaR and CVaR
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DOI：
10.1016/j.jbankfin.2005.04.003
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发表时间：
2006-02-01
影响因子：
3.7
通讯作者：
Kuznetsov, EA
中科院分区：
文献类型：
--
作者：
Kibzun, AI;Kuznetsov, EA
对金融数学中众所周知的标准VaR（风险价值）和CVaR（条件风险价值）进行了比较。它们之间建立了某种联系。提出了为分位数优化问题选择置信概率水平的方法。这些方法基于 VaR 和 CVaR 之间的一些平衡方程。讨论了示例。 (c) 2005 Elsevier B.V. 保留所有权利。
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.