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Analysis of criteria VaR and CVaR

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  • Kibzun, Andrey I.
  • Kuznetsov, Evgeniy A.

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  • Kibzun, Andrey I. & Kuznetsov, Evgeniy A., 2006. "Analysis of criteria VaR and CVaR," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 779-796, February.
    • Handle: RePEc:eee:jbfina:v:30:y:2006:i:2:p:779-796
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    References listed on IDEAS

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    1. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    2. Rockafellar, R. Tyrrell & Uryasev, Stanislav, 2002. "Conditional value-at-risk for general loss distributions," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1443-1471, July.
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    2. Ameli, Mariam & Mansour, Saeed & Ahmadi-Javid, Amir, 2016. "A multi-objective model for selecting design alternatives and end-of-life options under uncertainty: A sustainable approach," Resources, Conservation & Recycling, Elsevier, vol. 109(C), pages 123-136.
    3. Ruili Sun & Tiefeng Ma & Shuangzhe Liu & Milind Sathye, 2019. "Improved Covariance Matrix Estimation for Portfolio Risk Measurement: A Review," JRFM, MDPI, vol. 12(1), pages 1-34, March.
    4. Zhang, Bangzheng & Wei, Yu & Yu, Jiang & Lai, Xiaodong & Peng, Zhenfeng, 2014. "Forecasting VaR and ES of stock index portfolio: A Vine copula method," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 416(C), pages 112-124.
    5. Grauer, Robert R., 2013. "Limiting losses may be injurious to your wealth," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5088-5100.

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