✦ LIBER ✦

Stress testing for VaR and CVaR

✍ Scribed by Dupačová, Jitka; PolÍvka, Jan

Book ID: 120374724
Publisher: Taylor and Francis Group
Year: 2007
Tongue: English
Weight: 223 KB
Volume: 7
Category: Article
ISSN: 1469-7688
DOI: 10.1080/14697680600973323

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Comparison of VaR and CVaR Criteria

✍ A.I. Kibzun; V.N. Vagin 📂 Article 📅 2003 🏛 SP MAIK Nauka/Interperiodica 🌐 English ⚖ 153 KB

Analysis of criteria VaR and CVaR

✍ Andrey I. Kibzun; Evgeniy A. Kuznetsov 📂 Article 📅 2006 🏛 Elsevier Science 🌐 English ⚖ 221 KB

Minimum VaR and minimum CVaR optimal por

Minimum VaR and minimum CVaR optimal portfolios: Estimators, confidence regions, and tests

✍ Bodnar, Taras; Schmid, Wolfgang; Zabolotskyy, Tara 📂 Article 📅 2012 🏛 Oldenbourg Wissenschaftsverlag 🌐 English ⚖ 408 KB

## Abstract In this paper, we consider the sample estimators for the expected return, the variance, the value-at-risk (VaR), and the conditional VaR (CVaR) of the minimum VaR and the minimum CVaR portfolio. Their exact distributions are derived. These expressions are used for studying the distribut

Minimizing CVaR and VaR for a portfolio

Minimizing CVaR and VaR for a portfolio of derivatives

✍ S. Alexander; T.F. Coleman; Y. Li 📂 Article 📅 2006 🏛 Elsevier Science 🌐 English ⚖ 257 KB

Sensitivity of portfolio VaR and CVaR to

Sensitivity of portfolio VaR and CVaR to portfolio return characteristics

✍ Stoyanov, Stoyan V.; Rachev, Svetlozar T.; Fabozzi, Frank J. 📂 Article 📅 2012 🏛 Springer US 🌐 English ⚖ 780 KB

VaR stress tests for highly non‐linear p

VaR stress tests for highly non‐linear portfolios

✍ Einmahl, John H.J.; Foppen, Walter N.; Laseroms, Olivier W.; de Vries, Casper G. 📂 Article 📅 2005 🏛 Emerald Group Publishing Limited 🌐 English ⚖ 221 KB