CVAR

Known as: ConVar 
CVAR and ConVar are abbreviations for Console Variable. Depending on the context in which the term is found, it may also stand for Client Variable… (More)
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Papers overview

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2015
2015
Conditional Value at Risk (CVaR) is a prominent risk measure that is being used extensively in various domains. We develop a new… (More)
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2015
2015
In this paper we address the problem of decision making within a Markov decision process (MDP) framework where risk and modeling… (More)
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2014
2014
The concept of Conditional Value-at-Risk (CVaR) is used in various applications in uncertain environment. This paper introduces… (More)
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2014
2014
We study a risk-constrained version of the stochastic shortest path (SSP) problem, where the risk measure considered is… (More)
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2007
2007
Value at Risk (VaR) is an important issue for banks since its adoption as a primary risk metric in the Basel Accords and the… (More)
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2005
2005
Over the past decade, financial companies have merged diverse areas including investment banking, insurance, retail banking, and… (More)
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Highly Cited
2004
Highly Cited
2004
Value at risk (VaR) and conditional value at risk (CVaR) are the most frequently used risk measures in current risk management… (More)
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2004
2004
Practical use of the contamination technique in stress testing for risk measures Value at Risk (VaR) and Conditional Value at… (More)
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2003
2003
The use of derivatives can lead to higher yields and lower funding costs. In addition, derivatives are indispensable tools for… (More)
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Highly Cited
1999
Highly Cited
1999
A new approach to optimizing or hedging a portfolio of financial instruments to reduce risk is presented and tested on… (More)
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