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International Conference on Engineering and Business Management (EBM 2010 PAPERBACK)

Chengdu,China,China,3.24-3.26,2010

ISBN: 978-1-935068-05-1 Scientific Research Publishing, USA

Paperback 6066pp Pub. Date: March 2010

Category: Engineering

Price: $280

Title: Comparison and Application of VaR and CVaR in Risk Management
Source: International Conference on Engineering and Business Management (EBM 2010 PAPERBACK) (pp 3912-3915)
Author(s): Jie YANG, School of Economics and Management, Yunnan Normal University, Kunming, China
Shaozong ZHANG, School of Mathematical Science, Yunnan Normal University, Kunming, China
Yan LI, School of Economics and Management, Yunnan Normal University, Kunming, China
Abstract: Abstract: Value at risk (VaR) and conditional value at risk (CVaR) are the most frequently used risk measures in current risk management practice. As an alternative to VaR, CVaR is attractive since it is a coherent risk measure. This paper recalls the development of financial risk measurement, and compares the advantages and disadvantages between VaR model and CVaR model.
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