VaR as the CVaR sensitivity: applications in risk optimization

DOI10.1016/J.CAM.2016.06.036MaRDI QIDQ313597zbMATH OpenOpenAlexFDO

Authors Beatriz Balbás, Raquel Balbás, Alejandro Balbás

Publication date 12 September 2016

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2016.06.036

zbMATH Keywords

optimality conditionsapproximation methodsactuarial and financial applicationsCVaR sensitivityVaR optimization

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50) Approximation methods and heuristics in mathematical programming (90C59) Nonlinear programming (90C30) Portfolio theory (91G10)

Recommendations

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• Some remarks on the value-at-risk and the conditional value-at-risk
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Cites work

• scientific article; zbMATH DE number 3112450 (Why is no real title available?)
• scientific article; zbMATH DE number 1022658 (Why is no real title available?)
• scientific article; zbMATH DE number 3399886 (Why is no real title available?)
• A difference of convex formulation of value-at-risk constrained optimization
• A generalized measure of riskiness
• Actuarial risk measures for financial derivative pricing
• An economic index of riskiness
• Coherent measures of risk
• Generalized deviations in risk analysis
• Good deals and benchmarks in robust portfolio selection
• Hedging, Pareto optimality, and good deals
• Marginal indemnification function formulation for optimal reinsurance
• Martingales and Stochastic Integrals
• Minimizing measures of risk by saddle point conditions
• Operational risk: emerging markets, sectors and measurement
• Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
• Optimal reinsurance under convex principles of premium calculation
• Optimal reinsurance under risk and uncertainty
• Optimal reinsurance with general premium principles
• Optimization of Convex Risk Functions
• Robustness of optimal portfolios under risk and stochastic dominance constraints
• Some new classes of consistent risk measures
• Trade-off between robust risk measurement and market principles
• Value-at-risk optimization using the difference of convex algorithm

Cited in

(16)

• CVaR norm and applications in optimization
• scientific article; zbMATH DE number 5060255 (Why is no real title available?)
• Stress testing for VaR and CVaR
• CVaR minimization by the SRA algorithm
• Sensitivity of portfolio VaR and CVaR to portfolio return characteristics
• A note on conditional value at risk (CVaR)
• Varying confidence levels for CVaR risk measures and minimax limits
• Differential equations connecting VaR and CVaR
• On the uncertainty of VaR of individual risk
• Comparison of VaR and CVaR criteria
• CVaR proxies for minimizing scenario-based value-at-risk
• scientific article; zbMATH DE number 2147773 (Why is no real title available?)
• Simulating sensitivities of conditional value at risk
• Some remarks on the value-at-risk and the conditional value-at-risk
• Introduction to the theory of probabilistic functions and percentiles (value-at-risk)
• Conditional value-at-risk: optimization approach

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