conditional value at risk (cvar) – matlab and simulink -凯发k8网页登录

conditional value-at-risk (cvar) is the extended risk measure of value-at-risk that quantifies the average loss over a specified time period of unlikely scenarios beyond the confidence level. for example, a one-day 99% cvar of $12 million means that the expected loss of the worst 1% scenarios over a one-day period is $12 million. cvar is also known as expected shortfall.

practitioners in both risk management and portfolio management are increasingly using cvar. for example:

• cvar is replacing var for calculating market risk capital in the fundamental review of the trading book (frtb) by basel committee on banking supervision (bcbs).
• cvar is being adopted for portfolio optimization.

depending on the asset classes and types of risk exposure, risk managers employ various mathematical techniques to calculate cvar, including:

• monte carlo simulation
• copula-based portfolio simulation
• pricing and valuation of financial derivatives
• econometrics models (e.g., interest rate models and garch models)

for more information, see statistics and machine learning toolbox™, financial toolbox™, financial instruments toolbox™, and risk management toolbox™.