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2017•Unpublished venueRequires access

Value at risk and conditional value at risk: an econometric analysis

Pierluigi Vallarino

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Abstract

Introducing risk. Market risk and its metrics. Value at risk. Introducing the VaR and a bit of history. Monte Carlo simulation. Beyond the VaR: the CVaR and tail distributions. The conditional value at risk. A further application of the CVaR: index tracking.

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What this paper is about

Introducing risk. Market risk and its metrics. Value at risk. Introducing the VaR and a bit of history. Monte Carlo simulation. Beyond the VaR: the CVaR and tail distributions. The conditional value at risk. A further application of the CVaR: index tracking.

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Available abstract

Introducing risk. Market risk and its metrics. Value at risk. Introducing the VaR and a bit of history. Monte Carlo simulation. Beyond the VaR: the CVaR and tail distributions. The conditional value at risk. A further application of the CVaR: index tracking.

Key concepts: CVAR, Value at risk, Expected shortfall, Econometrics, Monte Carlo method, Value (mathematics), Economics, Market risk

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