Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk

By Georg Ch. Pflug. 2000

904 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/0fe111acc32ab5cdfd5a86b9eda2274f39f31d47

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Gautam Mitra
2. Diana Roman
3. Darinka Dentcheva †
4. Andrzej Ruszczynski
5. Frank J Fabozzi 3
6. Svetlozar T. Rachev
7. Alexander Shapiro
8. Stoyan Stoyanov

In Management Science and Operations Research

1. Andrzej Ruszczynski
2. Darinka Dentcheva †
3. Alexander Shapiro
4. Gautam Mitra
5. Diana Roman
6. Pavlo A. Krokhmal
7. Shushang Zhu
8. Stoyan Stoyanov

Citations in the corpus

• Lectures on Stochastic Programming: Modeling and Theory (2009, background): “For Conditional (Average) Value at Risk see Acerbi and Tasche [1], Rockafellar and Uryasev [213], Pflug [181].”
• Optimization of Convex Risk Functions (2006, result): “The consistency results of Ogryczak and Ruszczyński [16, 17, 18] and Pflug [20] for specific mean-risk models are special cases of Theorem 5.”
• Security-Constrained Unit Commitment for AC-DC Grids With Generation and Load Uncertainty (2018, methodology): “We transform the problem into a semidefinite program (SDP) and introduce the conditional value-at-risk (CVAR) [17] to minimize the likelihood of high deviations in the load demand and renewable generation.”
• Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management (2009, background): “, there exists an optimal solution (x̄∗, ū∗, ᾱ∗, θ̄∗) to (23)-(27) such that θ̄∗ < θ∗.”
• Higher moment coherent risk measures (2007, methodology): “Among the risk measures that satisfy the coherency properties, there are Conditional Value-at-Risk, Maximum Loss (Pflug, 2000; Acerbi and Tasche, 2002), coherent risk measures based on one-sided moments (Fischer, 2003), etc.”
• Supply chain resilience for single and multiple sourcing in the presence of disruption risks (2018, methodology): “Spot markets have been used in foodgrain, livestock, oil and memory chip industries (Reitman 1997; Pflug 2000; Merzifonluoglu 2015).”
• Time-Inconsistency of VaR and Time-Consistent Alternatives (2007, neutral): “It is equal to the conditional value-at-risk introduced in Rockafellar and Uryasev (2000, 2002) and Pflug (2000).”
• Asset Allocation with Conditional Value-at-Risk Budgets (2013, neutral): “Our focus is on portfolio conditional value-at-risk (CVaR), since unlike value-atrisk (VaR), CVaR has all the properties a risk measure requires to be coherent and is a convex function of the portfolio weights (Artzner et al 1999; Pflug 2000).”
• The Impact of Skewness and Fat Tails on the Asset Allocation Decision (2011, neutral): “Assets A, B, and C have the same ratio of return to risk (standard deviation), 0.5.”
• Expected shortfall and beyond (2002, background): “The following result ([3, 20]) is important for the calculation of VaR and ES, and, by the way, enlightens the relationship between the notion of ES and the quantile regression which was introduced in [15].”
• Conditional Expectation as Quantile Derivative (2001, background): “For instance, in [1] and [3] is argued that CVaR is not a coherent risk measure, whereas [12] says it is.”
• AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT (2007, background): “449 Tasche (2002), Föllmer and Schied (2002), Pflug (2000), Pflug and Ruszczynski (2004), Rockafellar and Uryasev (2000, 2002), and references therein.”