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VAR and Its Improved Model CVAR

Peng Zheng-y

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Abstract

This paper introduces the concepts and features of VAR, and analyzes and compares the superiorities and defects of VAR and its improved model CVAR.

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What this paper is about

This paper introduces the concepts and features of VAR, and analyzes and compares the superiorities and defects of VAR and its improved model CVAR.

Why it matters

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Key contribution

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Method / approach

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Available abstract

This paper introduces the concepts and features of VAR, and analyzes and compares the superiorities and defects of VAR and its improved model CVAR.

Key concepts: CVAR, Computer science, Economics, Expected shortfall, Portfolio, Financial economics

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