方法证据记录
Conditional Value-at-Risk
Conditional Value-at-Risk (CVaR), also called Expected Shortfall, is a coherent tail-risk measure that quantifies the conditional expectation of losses beyond the Value-at-Risk threshold. It was introduced for optimization by Rockafellar and Uryasev (2000) and shown to be coherent by Acerbi and Tasche (2002), and it has replaced VaR as the regulatory standard under Basel III/IV.
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Conditional Value-at-Risk (Expected Shortfall)
分类方法记录 · regression-model / finance
- Rockafellar, R. T. & Uryasev, S. (2000). Optimization of Conditional Value-at-Risk. Journal of Risk, 2(3), 21-41. · DOI 10.21314/JOR.2000.038
- Acerbi, C. & Tasche, D. (2002). On the Coherence of Expected Shortfall. Journal of Banking & Finance, 26(7), 1487-1503. · DOI 10.1016/S0378-4266(02)00283-2
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