Worst-case conditional value-at-risk and conditional expected shortfall based on covariance information |
| |
| Authors: | Tiantian Mao Qi Zhao Qinyu Wu |
| |
| Institution: | Department of Statistics and Finance, School of Management, University of Science and Technology of China, Hefei 230026, China |
| |
| Abstract: | In this paper, we study the worst-case conditional value-at-risk (CoVaR) and conditional expected shortfall (CoES) in a situation where only partial information on the underlying probability distribution is available. In the case of the first two marginal moments are known, the closed-form solution and the value of the worst-case CoVaR and CoES are derived. The worst-case CoVaR and CoES under mean and covariance information are also investigated. |
| |
| Keywords: | conditional value-at-risk conditional expected shortfall distributional uncertainty |
|
| 点击此处可从《中国科学技术大学学报》浏览原始摘要信息 |
| 点击此处可从《中国科学技术大学学报》下载免费的PDF全文 |
