Bi̇rbi̇l, Ş. İlker; Frenk, Johannes G.; Kaynar, Bahar; … - 2008
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Risk (VaR) and Conditional Value-at-Risk (CVaR). After reviewing the main properties of VaR
and CVaR, we present short … numerical results.
Keywords: Elliptical distributions; mean-risk; value-at-risk; conditional value-at-risk; portfolio … Value-at-Risk (VaR). With VaR methodology, not only
is exposed risk identified but VaR can also be used as a decision tool …