Questions tagged [cvar]

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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 ...
292 views

What are the advantages of $EVaR$ over $CVaR$?

$CVaR$, which is short for Conditional Value-at-Risk, has long been accepted by both academe and practice as a good coherent risk measure. Entropic value-at-risk ($EVaR$) is a comparative new coherent ...
2k views

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 ...
585 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 ...
228 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. ...
85 views

How to minimize $CVaR_{\alpha}(\min(X,d))$, where $X$ is a random variable and d is the decision variable?

How to solve the following problem, $$\min_{d \in \mathbb{R}^{+}} \text{CVaR}_{\alpha}(\min(X,d))$$, where, X is a random variable whose distribution function $f_{X}(x)$ is given and $d$ is the ...
174 views

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 ...
85 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 ...
250 views

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 ...
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: ...
387 views

How to prove the following relation of Conditional Value-at-Risk and Value-at-Risk?

How to prove the following relation of Conditional Value-at-Risk $\text{CVaR}_{\alpha}(X)$ and Value-at-Risk $\text{VaR}_{\alpha}(X)$, \text{CVaR}_{\alpha}(X) = \text{VaR}_{\alpha}(X)+...
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Berkowitz test for CVaR backtesting

I want to test CVaR using the Berkowitz test (focus on the left tail). I have a couple of doubts: Do I need to transform only actual losses that are above CVaR; In the first transformation, whether ...
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How to calculate $\frac{\partial\ \text{CVaR}_{\alpha}(\min(X,d))}{\partial d}$ and $\frac{\partial\ \text{VaR}_{\alpha}(\min(X,d))}{\partial d}$?

How to calculate $\frac{\partial\ \text{CVaR}_{\alpha}(\min(X,d))}{\partial d}$ and $\frac{\partial\ \text{VaR}_{\alpha}(\min(X,d))}{\partial d}$? Here, $\text{CVaR}$ is short for Conditional Value-...
I know if $X \sim N(\mu,\sigma^2)$, then $VaR_{\alpha}(X) =\mu + \sigma\Phi^{-1}(\alpha)$ and $CVaR_{\alpha}(X) = \mu + \sigma \frac{\phi(\Phi^{-1}(\alpha))}{1-\alpha}$ But how to evaluate \$\lim_{\...