Value at Risk (VaR) is a measure of the risk of investments. It estimates how much a set of investments might lose, given normal market conditionsâ€¦Â (More)

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Highly Cited

2002

Highly Cited

2002

Fundamental properties of conditional value-at-risk (CVaR), as a measure of risk with significant advantages over value-at-riskâ€¦Â (More)

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Highly Cited

2001

Highly Cited

2001

- Fredrik Andersson, Helmut Mausser, Dan Rosen, Stan Uryasev
- Math. Program.
- 2001

This paper examines a new approach for credit risk optimization. The model is based on the Conditional Value-at-Risk (CVaR) riskâ€¦Â (More)

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Highly Cited

2001

Highly Cited

2001

- Jeremy Berkowitz, James OBrien
- 2001

In recent years, the trading accounts at large commercial banks have grown substantially and become progressively more diverseâ€¦Â (More)

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Highly Cited

2000

Highly Cited

2000

This paper develops efficient methods for computing portfolio value-at-risk (VAR) when the underlying risk factors have a heavyâ€¦Â (More)

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Highly Cited

1999

Highly Cited

1999

- S. P. Uryasev
- 1999

A new approach to optimizing or hedging a portfolio of nancial instruments to reduce risk is presented and tested on applicationsâ€¦Â (More)

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Highly Cited

1999

Highly Cited

1999

Value at risk (VaR) is the standard measure of market risk used by financial institutions. Interpreting the VaR as the quantileâ€¦Â (More)

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Highly Cited

1999

Highly Cited

1999

Recently, a new approach for optimization of Conditional Value-at-Risk (CVaR) was suggested and tested with several applicationsâ€¦Â (More)

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Highly Cited

1997

Highly Cited

1997

- Jon Danielsson, Casper G. de Vries
- 1997

Accurate prediction of the frequency of extreme events is of primary importance in many financial applications such as Value-atâ€¦Â (More)

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Highly Cited

1997

Highly Cited

1997

- Matthew Pritsker, Anthony M. Santomero, Vijay Bhasin, Paul Kupiec, Pat White, Chunsheng Zhou
- 1997

Recent research has shown that different methods of computing Value at Risk (VAR) generate widely varying results, suggesting theâ€¦Â (More)

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Highly Cited

1996

Highly Cited

1996

esearchers in the field of financial economics have long recognized the importance of measuring the risk of a portfolio ofâ€¦Â (More)

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