Hong, L. Jeff; Liu, Guangwu - In: Management Science 55 (2009) 2, pp. 281-293
Conditional value at risk (CVaR) is both a coherent risk measure and a natural risk statistic. It is often used to measure the risk associated with large losses. In this paper, we study how to estimate the sensitivities of CVaR using Monte Carlo simulation. We first prove that the CVaR...
