# Questions tagged [cvar]

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### Large deviations theory in finance

In probability theory, the theory of large deviations concerns the asymptotic behavior of remote tails of sequences of probability distributions. A related post says: Large deviations theory is ...
1answer
89 views

### Mean-EVaR efficient frontier

Entropic Value-at-Risk (EVaR) is an alternative and more efficient risk measure than conditional Value-at-Risk (CVaR). EVaR serves as an upper bound to both VaR and CVaR. Below is a graph of the mean-...
1answer
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### Estimating CVaR for non-Gaussian distributions

Calculating CVaR needs Gaussian distribution, however, what if the distribution is not Gaussian? Or the distribution is unknown? Can I use many Dirac Delta functions to estimate a distribution and ...
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### CVar optimization algorithms

An alternative measure of losses to Var, with more attractive properties, is Conditional Value-at-risk or CVar which is also called Mean Excess Loss, Mean Shortfall, or Tail Var. CVar is a more ...
1answer
80 views

### When is the VAR equal to the CVAR

After running an optimisation using a quadratic utility (CRRA) function I calculate an CVAR that is equal to the VAR especially for very small risk-aversion levels ($\gamma$=1 and $\gamma$=2 e.g.). ...
0answers
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### How to prove the following relation of Conditional Value-at-Risk and Value-at-Risk and Conditional Tail Expectation?

How to prove the following relation of Conditional Value-at-Risk and Value-at-Risk and Conditional Tail Expectation????
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### CVaR portfolio optimization with risk aversion parameter

I'm trying to implement the Rockafellar's function described in this paper http://past.rinfinance.com/agenda/2009/yollin_slides.pdf with a risk aversion parameter for my thesis. The function to ...
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1k views

### CVAR alternatives for optimization

Are there some alternatives to the CVaR measure for portfolio optimization, which are easier to implement for ex. with a linear program? They can be just approximations of CVaR or measures ...
0answers
76 views

### Expected Shortfall for ARMA-GARCH Model

I need to find an analytical solution for the 99% confidence expected shortfall (CVaR) for a long position of 100 dollars at time $t$ for an asset with returns modeled by an ARMA(1,1)-GARCH(1,1) model ...
1answer
430 views

### Manually calculating and backtesting VaR and CVaR from DCC-GARCH R

I estimated a GARCH fit to the log returns of three series (CAC 40, a french real estate index and french T10 bond yield series) using rugarch. I then manually ...
2answers
539 views

### CVaR is concave risk measure or convex?

I see in pflug modeling and measuring risk book, CVaR is concave... But the other book definate cvar is convex... If assume cvar is concave, then cvar optimization problem give us a global optimal ...
1answer
196 views

### Subadditivity of cvar(R)، R is random vector

$R=(R_1,\ldots,R_n)$ is random vector in $L^1(\mathcal{R}^n)$. Then is it true that $$\operatorname{Cvar}(R_1+ \cdots + R_n) \le \operatorname{Cvar}(R_1) + \cdots +\operatorname{Cvar}(R_n)?$$ Can ...
1answer
221 views

### CVaR formulation

I am a research intern and I am working on a topic about a profit maximization of a risk-averse newsvendor by using Conditional Value-at-Risk.The problem is that I found different expressions of CVaR. ...
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104 views

### Why no median-CVaR optimization for portfolios?

Question Since CVaR is a concept that can be applied to all probability distribution, even if they do not follow normal distribution, I thought CVaR should be more concerned with median, not the ...
1answer
80 views

### Backtesting EGARCH-NIG CVaR in R

I fitted an EGARCH model with a NIG distribution to a series of returns. Using the following link I tried got how I should calculate the CVaR of the model http://r.789695.n4.nabble.com/CVaR-with-NIG-...
0answers
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### Which performance evaluation measure to assess “Connectedness Matrix” based porfolios?

1. Question Which performance evaluation measure would be best to assess the portfolios built on 'connectedness matrix'? The connectedness matrix is the concept introduced in the academic paper "...
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1answer
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### Questions about VaR and CVaR. Is there any relation between $VaR_{\alpha}(X)$ and $VaR_{\alpha}(-X)$, or $CVaR_{\alpha}(X)$ and $CVaR_{\alpha}(-X)$?

I have some questions when dealing with Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR). Is there any relationship between $VaR_{\alpha}(X)$ and $VaR_{\alpha}(- X)$, or $CVaR_{\alpha}(X)$ ...
1answer
532 views

### Confidence Interval on Monte-Carlo-CVaR

I use the Monte-Carlo Simulation for the computation of VaR and CVaR and wish to compute the 95% Confidence Interval of my result(not the confidence level of VaR). In the case of VaR this is simple ...
1answer
158 views

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### Non-parametric estimator - CVaR / Expected shortfall

Is the estimation of the CVaR using known non-parametric methods (histogram, kernels) different than the estimation of any other R.V.? If the answer is yes, I am interested to know whether there are ...
1answer
148 views

### VaR calculation accuracy/comparison/effectiveness through different R packages

My question is what would be the better( in terms of estimation accuracy) method of VaR calculation among below two:, also any small code snippet will be great as a starting point for me. 1st method: ...
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3k views

### Calculate CVaR for a portfolio

I would like to calculate the Conditional Value at Risk for a portfolio. To be honest, I'm trying for a few days to find an example to calculate for an entire portfolio, not just for one security and ...
1answer
1k views

### Elicitability of risk measures

I read that CVaR (Conditional Value-at-Risk, also Expected Shortfall), satisfies coherence, but not Elicitability. On the other hand, VaR satisfies Elicitability, but not coherence. What is ...
0answers
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### how to find CVaR/AVaR for triangular fuzzy no

While going through different methods of risk measure i came across AVaR/CVaR, while i was calculating AVaR/CVaR in credibilistic environment using VaR, i got stuck in the calculations eg. For ...
1answer
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### Portfolio optimization with Portfolio CVaR Constraint

I wanted to optimize a portfolio based on a portfolio-wide CVaR constraint (i.e. $CVaR_p \leq 0.08$). Unfortunately, I only find solution that minimizes the entire CVaR of the Portfolio. Do you mind ...