ScholarLens Back to search
2007•Journal of Beijing Institute of Finance and Commerce ManagementRequires access

Applications and contrasting analyses of VaR and CvaR in the portfolio

Zhao Fe

Open publisher page 0 citations

Abstract

VaR(Value at Risk)theory has been a comparatively mature theory to analyze and measure the risk in the world,and widely used in many aspects of the financial industry. However,the special values(actual values beyond the predicted values of VaR) which may have significant influences on the evaluation of the risk are usually ignored in the measurement of risk distribution functions.In this paper,flaws of VaR will be analyzed and characteristics of the CVaR(Conditional VaR)based on the VaR will be introduced and results of the portfolio constructed with four stocks by means of VaR and CvaR illustrate the differences of the two means in risk measurement.

About this research paper

What this paper is about

VaR(Value at Risk)theory has been a comparatively mature theory to analyze and measure the risk in the world,and widely used in many aspects of the financial industry. However,the special values(actual values beyond the predicted values of VaR) which may have significant influences on the evaluation of the risk are usually ignored in the measurement of risk distribution functions.In this paper,flaws of VaR will be analyzed and characteristics of the CVaR(Conditional VaR)based on the VaR will be introduced and results of the portfolio constructed with four stocks by means of VaR and CvaR illustrate the differences of the two means in risk measurement.

Why it matters

A significance statement is not available in the OpenAlex record.

Key contribution

A contribution statement is not available in the OpenAlex record.

Method / approach

Method details are not available in the OpenAlex metadata.

Main findings

Findings are not separately available in the OpenAlex metadata.

Limitations

Limitations are not available in the OpenAlex metadata.

Applications

Application details are not available in the OpenAlex metadata.

Available abstract

VaR(Value at Risk)theory has been a comparatively mature theory to analyze and measure the risk in the world,and widely used in many aspects of the financial industry. However,the special values(actual values beyond the predicted values of VaR) which may have significant influences on the evaluation of the risk are usually ignored in the measurement of risk distribution functions.In this paper,flaws of VaR will be analyzed and characteristics of the CVaR(Conditional VaR)based on the VaR will be introduced and results of the portfolio constructed with four stocks by means of VaR and CvaR illustrate the differences of the two means in risk measurement.

Key concepts: CVAR, Value at risk, Expected shortfall, Portfolio, Econometrics, Risk measure, Modern portfolio theory, Economics

Related papers

Related paper 1Related paper 2Related paper 3
Back to paper searchBrowse research topicsOriginal source
Applications and contrasting analyses of VaR and CvaR in the portfolio — Research Paper | ScholarLens