This paper develops an analytical form of stressed value-at-risk (analytical SVaR), one of the most important changes implemented by Basel II, using conditional value-at-risk (CoVaR). We also validate ...

Nilay Noyan, Gábor Rudolf, Optimization with Multivariate Conditional Value-at-Risk Constraints, Operations Research, Vol. 61, No. 4 (July-August 2013), pp. 990-1013 ...

In this paper, however, we use ex ante methods to evaluate the component contribution to conditional value-at-risk (CVaR) and allocate risk. The proposed minimum CVaR concentration portfolio draws a ...

The objective of this paper is to investigate and compare the relationship between risk-neutral and risk-averse newsvendor problems under three different decision criteria: expected utility (EU) ...

The value at risk (VaR) is a statistical measure that assesses, with a degree of confidence, the financial risk associated with a portfolio or a firm over a specified period. The VaR measures the ...