Highly Influenced

# Conditional Value-at-Risk for General Loss Distributions

@inproceedings{Rockafellar2002ConditionalVF, title={Conditional Value-at-Risk for General Loss Distributions}, author={R. Tyrrell Rockafellar and S. P. Uryasev}, year={2002} }

- Published 2002

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. Such distributions are of particular importance in applications because of the prevalence of models based on scenarios and finite sampling. Conditional value-at-risk is able to quantify dangers beyond value-at-risk, and moreover it is coherent. It provides optimization shortcuts which, through… CONTINUE READING

Highly Influential

This paper has highly influenced 165 other papers. REVIEW HIGHLY INFLUENTIAL CITATIONS

Highly Cited

This paper has 1,279 citations. REVIEW CITATIONS

#### 13 Figures & Tables

#### Topics

#### Statistics

Citations per Year

#### 1,280 Citations

Semantic Scholar estimates that this publication has

**1,280**citations based on the available data.See our **FAQ** for additional information.