Wielowymiarowa warunkowa wartość zagrożona jako miara ryzyka

• Authors: Adam Krzemienowski

Title variants

EN

The Multivariate Conditional Value-At-Risk As a Measure of Risk

• Languages of publication: PL

Abstracts

EN

The Multivariate Conditional Value-at-Risk (MCVaR) is a scalar risk measure for multivariate risks modeled by multivariate random variables. It is assumed that the univariate risk components are perfect substitutes, i.e., they are expressed in the same units. MCVaR is a quantile risk measure that allows one to emphasize the consequences of more pessimistic scenarios. By changing the level of the quantile, the measure permits to parameterize prudent attitudes toward risk ranging from extreme risk aversion to risk neutrality. In terms of definition, MCVaR is slightly different from the popular and well-researched Conditional Value-at-Risk (CVaR). Nevertheless, this small difference allows one to efficiently solve MCVaR portfolio optimization problems based on the full information carried by a multivariate random variable using column generation technique, which is not possible in the case of CVaR.

Keywords

PL

Analiza wartości zagrożonej; Pomiar ryzyka; Wielowymiarowa analiza ryzyka; Zmienne losowe

EN

Multi-dimensional risk analysis; Random variable; Risk measures; Value at Risk Analysis

• Publisher: Uniwersytet Ekonomiczny w Katowicach
• Journal: Studia Ekonomiczne
• Year: 2013
• Volume: 154
• Pages: 53-60

Contributors

author

Adam Krzemienowski

References

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Identifiers

ISSN

2083-8611