CVAR

(redirected from Conditional Value At Risk)
AcronymDefinition
CVARConsole Variables
CVARConditional Value At Risk
CVARConejo Valley Association of Realtors (Thousand Oaks, CA)
CVARCorinthian Vintage Auto Racing
CVARClient Variable (gaming settings)
References in periodicals archive ?
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:
Full browser ?