文件名称：StatFacts_Conditional_Value_at_Risk.pdf
文件大小：339KB
文件格式：PDF
更新时间：2023-11-25 05:46:03
cvar
CVaR is best analyzed in conjunction with its close relative, VaR. VaR is a breakpoint, CVaR is what happens when VaR is breached. With large cap US stocks and investment grade US bonds, when returns fall past the VaR breakpoint, they don’t tend to exceed the VaR by a significant amount. In contrast