VaR as the CVaR sensitivity: Applications in risk optimization



Downloads per month over past year

Balbás, Alejandro and Balbás, Beatriz and Balbás Aparicio, Raquel (2016) VaR as the CVaR sensitivity: Applications in risk optimization. [ Working Paper Business Economic Series; nº 16-01, ISSN: 1989-8843 ]

This is the latest version of this item.

[thumbnail of VaR as the CVaR-Balbás (2017) Doc. Trab..pdf]


VaR minimization is a complex problem playing a critical role in many actuarial and financial applications of mathematical programming. The usual methods of convex programming do not apply due to the lack of sub-additivity. The usual methods of differentiable programming do not apply either, due to the lack of continuity. Taking into account that the CVaR may be given as an integral of VaR, one has that VaR becomes a first order mathematical derivative of CVaR. This property will enable us to give accurate approximations in VaR optimization, since the optimization VaR and CVaR will become quite closely related topics. Applications in both finance and insurance will be given.

Resumen (otros idiomas)

Item Type:Working Paper or Technical Report
Additional Information:

Publicado como artículo de revista:
Balbás, Alejandro et al. “VaR as the CVaR sensitivity: Applications in risk optimization.” J. Comput. Appl. Math. 309 (2017): 175-185.

Uncontrolled Keywords:VaR optimization; CVaR sensitivity; Approximation methods; Optimality conditions; Actuarial and financial applications.
Subjects:Sciences > Mathematics > Finance
Social sciences > Economics > Econometrics
Social sciences > Economics > Insurance
JEL:C02, C61, G11, G22
Series Name:Working Paper Business Economic Series
ID Code:57814
Deposited On:19 Nov 2019 09:57
Last Modified:06 Jul 2020 12:42

Available Versions of this Item

Origin of downloads

Repository Staff Only: item control page