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- W2113280097 abstract "In recent years, Value-at-Risk (VaR) has become a standard measure of market risk commonly used by financial managers. VaR indicates the maximum amount of money that may be lost on a portfolio over a given pe- riod of time, with a given level of confidence. In other words, Value at Risk needs to be previously defined in terms of certain parameters (time horizon, level of confidence and currency in reference), as well as some theoretical hy- potheses. One of them has to do with stability which supposes that VaR estimate is obtained under normal market conditions. This principle implies the exclusion of extreme scenarios characterized by high volatility levels that are defined by Jorion (1997) as Event Risk. Moreover, Artzner et al. (1997, 1999) pointed out that VaR only represents a certain percentile of profit-loss distributions without standing any loss beyond VaR level (tail risk). But also VaR is not a coherent measure of risk since it is not sub-additive. To overwhelm those problems, the use of Expected Shortfall or Conditional VaR (CVaR) is proposed. This new measure of risk can be defined as the conditional expec- tation of loss given that the loss is beyond VaR level. In this paper, we focus on both VaR and CVaR concepts by using an empirical example based on a Spanish stock" @default.
- W2113280097 created "2016-06-24" @default.
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- W2113280097 date "2007-01-01" @default.
- W2113280097 modified "2023-09-24" @default.
- W2113280097 title "Más allá del valor en riesgo (VeR): el VeR condicional" @default.
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