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Worst-case VaR and CVaR

In: Operations Research Proceedings 2005

Author

Listed:
  • Jana Čerbáková

    (Charles university)

Abstract

Summary The main goal of this paper is to derive and compare values of worst-case VaR and CVaR under different type of information on distribution of random parameter. To this purpose we exploit results from moment problem theory and apply upper bound of loss probability of univariate random variable with special properties, given expected value and variance. Subsequently, we suppose that except the first two moments of the distributions, we know further characteristics of the class of distributions. We assume symmetry and/or unimodality. The bounds are also illustrated on the case of interbank exchange rate.

Suggested Citation

  • Jana Čerbáková, 2006. "Worst-case VaR and CVaR," Operations Research Proceedings, in: Hans-Dietrich Haasis & Herbert Kopfer & Jörn Schönberger (ed.), Operations Research Proceedings 2005, pages 817-822, Springer.
    • Handle: RePEc:spr:oprchp:978-3-540-32539-0_128
    DOI: 10.1007/3-540-32539-5_128
    as

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