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

Günter Bamberg; Andreas Neuhierl

doi:10.1007/s00291-008-0138-3

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

Günter Bamberg
, Andreas Neuhierl

Research output: Contribution to journal › Article › peer-review

8 Scopus citations

Abstract

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.

Original language	English
Pages (from-to)	49-60
Number of pages	12
Journal	OR Spectrum
Volume	32
Issue number	1
DOIs	https://doi.org/10.1007/s00291-008-0138-3
State	Published - Jan 2010

Keywords

Conditional value-at-risk
Heavy tails
Value-at-risk

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10.1007/s00291-008-0138-3

Cite this

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abstract = "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.",

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AB - 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.

KW - Conditional value-at-risk

KW - Heavy tails

KW - Value-at-risk

UR - https://www.scopus.com/pages/publications/71149085950

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DO - 10.1007/s00291-008-0138-3

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JO - OR Spectrum

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

Abstract

Keywords

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