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What is Conditional Value at Risk

Chapter 126
Encyclopedia of Business Analytics and Optimization
Conditional value at risk is a risk measure derived by taking a weighted average between the value at risk and losses exceeding the value at risk. The value at risk is a widely used in financial risk management to measure the potential loss in value of a risky asset or portfolio over a defined period for a given confidence interval. Conditional value at risk is also called average value at risk and expected tail loss.
Published in Chapter:
Large-Scale LP in Business Analytics
William Chung (City University of Hong Kong, Hong Kong)
Copyright: © 2014 |Pages: 10
DOI: 10.4018/978-1-4666-5202-6.ch126
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