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Optimization of conditional value-at risk
In an intensifying international competition banks are forced to place increased emphasis on enter-prise wide risk-/return management. Financial risks have to be limited and managed from a bank wide…
Conditional Value-at-Risk for General Loss Distributions
Fundamental properties of conditional value-at-risk, as a measure of risk with significant advantages over value-at-risk, are derived for loss distributions in finance that can involve discreetness.…
Generalized deviations in risk analysis
Connections are shown with coherent risk measures in the sense of Artzner, Delbaen, Eber and Heath, when those are applied to the difference between a random variable and its expectation, instead of to the random variable itself.
Conditional value-at-risk: optimization algorithms and applications
- S. Uryasev
- Computer ScienceProceedings of the IEEE/IAFE/INFORMS Conference…
- 28 March 2000
A new approach for the simultaneous calculation of value-at-risk (VaR) and optimization of conditional VaR (CVaR) for a broad class of problems is outlined and it is shown that CVaR can be efficiently minimized using LP techniques.
Drawdown Measure in Portfolio Optimization
A new one-parameter family of risk measures called Conditional Drawdown (CDD) has been proposed. These measures of risk are functionals of the portfolio drawdown (underwater) curve considered in…
Credit risk optimization with Conditional Value-at-Risk criterion
This paper examines a new approach for credit risk optimization based on the Conditional Value-at-Risk (CVaR) risk measure, the expected loss exceeding Value- at-Risks, also known as Mean Excess, Mean Shortfall, or Tail VaR.
The fundamental risk quadrangle in risk management, optimization and statistical estimation
Optimality conditions in portfolio analysis with general deviation measures
The optimality conditions are applied to characterize the generalized ``master funds'' which elsewhere have been developed in extending classical portfolio theory beyond the case of standard deviation.
Modeling and optimization of risk
Deviation Measures in Risk Analysis and Optimization
General deviation measures, which include standard deviation as a special case but need not be symmetric with respect to ups and downs, are defined and shown to correspond to risk measures in the…