Worst-case VaR and CVaR

MaRDI QIDQ3416614zbMATH OpenFDO

Authors Jana Čerbáková

Publication date 22 January 2007

zbMATH Keywords

value at riskconditional value at risk

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Minimax problems in mathematical programming (90C47)

Recommendations

• Worst-case range value-at-risk with partial information
• Worst VaR scenarios with given marginals and measures of association
• Worst-case VaR in financial risk measure and portfolio optimization
• Worst case risk measurement: back to the future?
• A worst-case risk measure by G-VaR

Cited in

(8)

• Tail analysis without parametric models: a worst-case perspective
• Worst-case range value-at-risk with partial information
• scientific article; zbMATH DE number 5589691 (Why is no real title available?)
• Moment Problem and Its Applications to Risk Assessment
• Worst case risk measurement: back to the future?
• Worst VaR scenarios with given marginals and measures of association
• Optimal reinsurance under dynamic VaR constraint
• Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances

This page was built for publication: Worst-case VaR and CVaR

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3416614)