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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…
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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.…
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Generalized deviations in risk analysis
TLDR
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.
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Conditional value-at-risk: optimization algorithms and applications
  • S. Uryasev
  • Computer Science
    Proceedings of the IEEE/IAFE/INFORMS Conference…
  • 28 March 2000
TLDR
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.
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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…
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Credit risk optimization with Conditional Value-at-Risk criterion
TLDR
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.
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The fundamental risk quadrangle in risk management, optimization and statistical estimation
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Optimality conditions in portfolio analysis with general deviation measures
TLDR
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.
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Modeling and optimization of risk
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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…
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