Decision Sciences
8 years ago

New Risk Measure CVaR Offers Better Protection Against Financial Losses

1 view
Nonconvex optimization and its applications
Introduction to the Theory of Probabilistic Functions and Percentiles (Value-at-Risk)
Stan Uryasev

Paper Summary

Probabilistic functions and percentiles are used to analyze models with uncertainties, like in finance where Value-at-Risk (VaR) measures the maximum loss with a certain confidence level. Conditional Value-at-Risk (CVaR) is the average loss for the worst scenarios and is more reliable than VaR. This paper introduces these concepts and discusses recent developments in the field.

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