Value at risk

Known as: VaR, Value-at-risk 
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 conditions… (More)
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Topic mentions per year

Topic mentions per year

1935-2018
05001000150019352017

Papers overview

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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-risk… (More)
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Highly Cited
2001
Highly Cited
2001
This paper examines a new approach for credit risk optimization. The model is based on the Conditional Value-at-Risk (CVaR) risk… (More)
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Highly Cited
2001
Highly Cited
2001
In recent years, the trading accounts at large commercial banks have grown substantially and become progressively more diverse… (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 heavy… (More)
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Highly Cited
1999
Highly Cited
1999
A new approach to optimizing or hedging a portfolio of nancial instruments to reduce risk is presented and tested on applications… (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 quantile… (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 applications… (More)
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Highly Cited
1997
Highly Cited
1997
Accurate prediction of the frequency of extreme events is of primary importance in many financial applications such as Value-at… (More)
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Highly Cited
1997
Highly Cited
1997
Recent research has shown that different methods of computing Value at Risk (VAR) generate widely varying results, suggesting the… (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 of… (More)
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