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CVARConsole Variables
CVARConditional Value At Risk
CVARConejo Valley Association of Realtors (Thousand Oaks, CA)
CVARCorinthian Vintage Auto Racing
CVARClient Variable (gaming settings)
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2) In this paper, we focus on two of these proposed measures: conditional value at risk (CoVaR) and marginal expected shortfall (MES).
We include the conditional value at risk ([xi] + 1/1 - [alpha] [[SIGMA].
Equation (9) provides the constraint associated to the calculation of conditional value at risk.
The conditional value at risk (CVaR) is a risk measure, defined as the expected loss conditional on the benefit payment ratio being higher than a given value at risk (VaR).
We define conditional Value at Risk as conditional expected loss under the condition that it exceeds Value at Risk:
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