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Nazarizadeh A, Samimi Haghgozar H. Value at Risk and Conditional Value at Risk to Optimize Capital Loss and Risk Control. jor 2025; 22 (2)
URL: http://jamlu.liau.ac.ir/article-1-2267-en.html
URL: http://jamlu.liau.ac.ir/article-1-2267-en.html
Department of Statistics, Faculty of Mathematics, Gilan University, Rasht, Iran , samimi@guilan.ac.ir
Abstract: (76 Views)
Abstract
Value at risk is the maximum expected loss of an asset portfolio under normal market conditions, over a given time horizon (one day, one month, or one week) and for a given confidence level. Determining value at risk is an attempt to provide financial managers with a certain number in which information about portfolio risk is available in a condensed and summarized manner. Considering the shortcomings and weaknesses of value at risk, Artzner and his colleagues introduced the conditional value at risk measure to cover the shortcomings of value at risk. In fact, the main purpose of the value at risk is to determine the maximum loss, but the conditional value at risk determines the maximum loss in adverse conditions. These two criteria are defined in different ways. Failure to pay attention to it and wrong topic leads to misunderstanding and incorrect results.In this article, three different definitions of value at risk (and as a result, value at conditional risk) are given, based on each of these definitions, the results, relationships and theorems will be different.
Value at risk is the maximum expected loss of an asset portfolio under normal market conditions, over a given time horizon (one day, one month, or one week) and for a given confidence level. Determining value at risk is an attempt to provide financial managers with a certain number in which information about portfolio risk is available in a condensed and summarized manner. Considering the shortcomings and weaknesses of value at risk, Artzner and his colleagues introduced the conditional value at risk measure to cover the shortcomings of value at risk. In fact, the main purpose of the value at risk is to determine the maximum loss, but the conditional value at risk determines the maximum loss in adverse conditions. These two criteria are defined in different ways. Failure to pay attention to it and wrong topic leads to misunderstanding and incorrect results.In this article, three different definitions of value at risk (and as a result, value at conditional risk) are given, based on each of these definitions, the results, relationships and theorems will be different.
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