Statements (19)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
risk measure
|
| gptkbp:abbreviation |
CVaR
|
| gptkbp:alsoKnownAs |
Expected Shortfall
|
| gptkbp:category |
quantitative finance
financial risk management |
| https://www.w3.org/2000/01/rdf-schema#label |
Conditional VaR
|
| gptkbp:introduced |
Philippe Artzner
|
| gptkbp:introducedIn |
1997
|
| gptkbp:isCoherent |
true
|
| gptkbp:mathematicalDefinition |
expected loss given that loss exceeds VaR at a given confidence level
|
| gptkbp:measures |
tail risk
expected loss beyond VaR |
| gptkbp:preferredOver |
gptkb:Value_at_Risk
|
| gptkbp:regulatoryUse |
gptkb:Basel_III
|
| gptkbp:relatedTo |
gptkb:Value_at_Risk
|
| gptkbp:usedIn |
finance
risk management |
| gptkbp:bfsParent |
gptkb:VaR
|
| gptkbp:bfsLayer |
8
|