Question
Verify that VaR and CVaR are both risk measures. (b) Verify that CVaR is coherent risk measure (proving the sub-additivity is tricky, use Lemma
Verify that VaR and CVaR are both risk measures. (b) Verify that CVaR is coherent risk measure (proving the sub-additivity is tricky, use Lemma 1 in L2) but VaR is not coherent (sub-additivity is violated, try to construct a counterexample using some discrete distributions). (c) Suppose XN(, o2), show that VaRa = --(a), CVaRa = = + y($(a)), where (), y() is the cumulative distribution function and density function of a standard normal distribution respectively.
Step by Step Solution
3.35 Rating (164 Votes )
There are 3 Steps involved in it
Step: 1
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get StartedRecommended Textbook for
Value at Risk The New Benchmark for Managing Financial Risk
Authors: Philippe Jorion
3rd edition
0070700427, 71464956, 978-0071464956
Students also viewed these Finance questions
Question
Answered: 1 week ago
Question
Answered: 1 week ago
Question
Answered: 1 week ago
Question
Answered: 1 week ago
Question
Answered: 1 week ago
Question
Answered: 1 week ago
Question
Answered: 1 week ago
Question
Answered: 1 week ago
Question
Answered: 1 week ago
Question
Answered: 1 week ago
Question
Answered: 1 week ago
Question
Answered: 1 week ago
Question
Answered: 1 week ago
Question
Answered: 1 week ago
Question
Answered: 1 week ago
Question
Answered: 1 week ago
Question
Answered: 1 week ago
Question
Answered: 1 week ago
Question
Answered: 1 week ago
Question
Answered: 1 week ago
Question
Answered: 1 week ago
Question
Answered: 1 week ago
View Answer in SolutionInn App