Worst-case VaR and CVaR

Jana Čerbáková ()
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Jana Čerbáková: Charles university

A chapter in Operations Research Proceedings 2005, 2006, pp 817-822 from Springer

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.

Keywords: exchange rate; moment problem; worst-case CVaR; worst-case VaR (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:spr:oprchp:978-3-540-32539-0_128

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DOI: 10.1007/3-540-32539-5_128

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