СТОЙНОСТ ПОД РИСК, КОХЕРЕНТНИТЕ АЛТЕРНАТИВИ CVAR И EVAR – ПОЛЗИ И ПРИЛОЖИМОСТ
VALUE AT RISK, COHERENT ALTERNATIVES CVAR AND EVAR - USEFULNESS AND RELEVANCE

Summary/Abstract: The current study discusses some issues related to the risk measures, mainly focusing on the Value at Risk concept. Some of the most popular techniques for valuation of the VaR and its alternatives are presented while the classical VaR is compared to its g-entropic variants – CVaR and EVaR. We reach the conclusion that often enough the parametrical valuation of VaR can lead to errors and the value can differ from the structure of the empirical distribution of the analyzed variable. Additionally the study demonstrates part of the additional information that can be reached through the usage of graphical representation of VaR, CVaR and EVaR simultaneously as a preliminary analysis. The study presents the usage of EVaR as a factor of portfolio optimization in abnormal market conditions related to the classical portfolio models, demonstrating the advantages of EVaR as a tool for low-risk portfolio modeling.

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