A portfolio risk measurement tool that examines risk exposure using a conservative algorithm to estimate return over a period. Also called Expected Shortfall.
Related information about conditional value at risk (CVaR):
- Conditional Value At Risk (CVaR) Definition | Investopedia
A risk assessment technique often used to reduce the probability a portfolio will incur large losses. This is performed by assessing the likelihood (at a specific ...
- Expected shortfall - Wikipedia, the free encyclopedia
Expected shortfall is also called conditional value at risk (CVaR), average value at risk (AVaR), and expected tail loss (ETL). ES evaluates the value (or risk) of ...
- Conditional Value-at-Risk (CVaR): Algorithms and Applications
ABSTRACT OF PAPER1. “Fundamental properties of Conditional Value-at-Risk ( CVaR), as a measure of risk with significant advantages over Value-at-Risk, ...
- Conditional value-at-risk for general loss distributions
Fundamental properties of conditional value-at-risk (CVaR), as a measure of risk with sig- nificant advantages over value-at-risk (VaR), are derived for loss ...
- Portfolio Optimization with Conditional Value-at-Risk Objective and ...
Recently, a new approach for optimization of Conditional Value-at-Risk (CVaR) was suggested and tested with several applications. For continuous distributions ...
- Optimization of Conditional Value-at-Risk - CiteSeer
It focuses on minimizing Conditional Value-at-Risk CVaR rather than minimizing Value-at-Risk VaR , but portfolios with low CVaR necessarily have low. VaR as ...
- Is Conditional Value-at-Risk (CVaR) coherent? - Quantitative ...
Jun 22, 2011 ... When the risk is defined by a discrete random variable, is CVaR a coherent risk measure? I stick to the following definition of CVaR: ...
- credit risk optimization with conditional value-at-risk ... - SmartQuant
Conditional Value-at-Risk CVaR risk measure, the expected loss exceeding Value-at-Risk. CVaR is also known as Mean Excess, Mean Shortfall, or Tail VaR.