On the non-existence of conditional value-at-risk under heavy tails and short sales

Value-at-Risk (VaR) and conditional value-at-risk (CVaR) are important risk measures. Especially VaR is very popular and widespread in risk management and banking supervision. However, VaR has some unwelcome properties which are not shared by CVaR. Therefore CVaR is preferable from a theoretical point of view. Both VaR and CVaR are discussed for long and short positions. It is pointed out that short positions and heavy tails are incompatible with a finite CVaR.