关于CvaR的问题

你用一些股票指数数据用表格计算一下，效果应该很明显，对理解有很大的帮助。很实务

Hey, not an expert, but as far as I know, for the same portfolio and the same probability level, the CVaR (expected shortfall) is always worse than or equal to the VaR. If you think about it, lets assume VaR is 8%, 8% is just a threshold, it only tells you under specified circumstances, AT LEAST 8% will be lost, the maximum loss could be either 9% or 40%. But the CVaR is an expectation, when considering all the cases in the left tail, the expectation should be worse than the threshold. Not sure if it makes sense to you...

CvaR有两个意思吧，条件在险价值和信用在险价值

谢谢.....不过还是想知道，CVAR和VAR谁大谁小，有必然联系吗？？？？？

CVaR means Conditional Value at Risk.sometimes that will be the expected VaR when the loss beyound the critical value.

你好，请问根据某一收益率序列怎么求出VaR和CVaR的值呢，使用什么软件或者程序呢？求告知，谢谢