portfiliocvar matlab,Conditional Value at Risk (CVaR) – MATLAB and Simulink - MATLAB & Simulink

r囧r小猫 2023-01-15 08:26 226阅读 0赞

Conditional value-at-risk (CVaR) is the extended risk measure of value-at-risk that quantifies the average loss over a specified time period of unlikely scenarios beyond the confidence level. For example, a one-day 99% CVaR of $12 million means that the expected loss of the worst 1% scenarios over a one-day period is $12 million. CVaR is also known as expected shortfall.

Practitioners in both risk management and portfolio management are increasingly using CVaR. For example:

Depending on the asset classes and types of risk exposure, risk managers employ various mathematical techniques to calculate CVaR, including:

Copula-based portfolio simulation

Pricing and valuation of financial derivatives

Econometrics models (e.g., interest rate models and GARCH models)

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