论文信息 - Comparison of VaR and CVaR Criteria

Comparison of VaR and CVaR Criteria

The VaR and CVaR criteria used in mathematical finance problems are compared. A relationship between them is derived. A method for choosing the confidence probability level for quantile optimization is designed on the basis of some balance equation for the CVaR criterion. The VaR and CVaR criteria are compared by solving several examples.

Andrey I. Kibzun | V. N. Vagin | V. Vagin | A. Kibzun

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