Conditional Value at Risk (CVaR) attempts to address the shortcomings of the VaR model, which is a statistical technique used to measure the level of financial risk within a firm or an investment ...

This is because it’s largely associated with risk tied to profit and loss. Beyond a year, larger risk factors come into play and VaR can’t always account for them. That’s why, for long-term ...

We suggest a new method for integrating volatility information for estimating the value-at-risk and conditional value-at-risk of a portfolio. This new method is developed from the perspective of ...

ABSTRACT 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 ...

Value at risk (VaR) is the standard measure of market risk used by financial institutions. Interpreting the VaR as the quantile of future portfolio values conditional on current information, the ...

Conditional value-at-risk is a popular risk measure in risk management. We study the inference problem of conditional value-at-risk under a linear predictive regression model. We derive the asymptotic ...