Concept在险价值 / Value at Risk
VaR
A risk measure defined on the basis of a quantile, representing the maximum possible loss over a given period at a specified confidence level.
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Oct 12
Conditional Value at Risk (CVaR) is defined as the expected value of the tail portion of the loss distribution exceeding a certain confidence level α, expressed mathematically as CVaR_α = E[L | L ≥ VaR_α], and possesses optimization properties such as convexity and subadditivity.
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