articleJournal of Banking & FinanceJul 1, 2002Closed access

Conditional value-at-risk for general loss distributions

RTR. T. RockafellarSUStan Uryasev

University of Washington · University of Florida

Indexed incrossref

Abstract

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3,652
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60.17
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100%
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Authors

2

Topics & keywords

Topics
Keywords
  • CVAR
  • Expected shortfall
  • Value at risk
  • Measure (data warehouse)
  • Stability (learning theory)
  • Econometrics
  • Coherent risk measure
  • Risk measure
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