【人大论坛09-08-07】有关VAR和CVaR

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我知道VaR的定义,也知道CVaR的定义,但是不知道怎么运用到生活中.
理论上CVaR(conditional VaR)更优化,能不能具体举个数据例子,或者建议我看相关文章,不甚感激

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tid=513361&page=1&fromuid=1137443


The intuitive reason is, I think, that VaR is a quantile estimator
and it ignores the extreme points beyond the significant level. (The
standard deviation as a measure does not ignore extreme points hence
it is subadditive).

The common example:
Bond A, default probability is 4%, with a loss of 100%, otherwise
return is 0. The 5% VAR for this bond is actually 0, because 96%
probability, return will be zero. The loss (extreme points) is
ignored.
Bond B, same default likelihood. and 5% VAR is also 0%. A portfolio of
100 A and 100B will have a VAR(5%) higher than 0. You can do the
caculation yourself. The reason is that those ignored extreme points,
when combined, are significant.
本文来自: 人大经济论坛
详细出处参考：http://www.pinggu.org/bbs/viewthread.php?
tid=513361&page=1&fromuid=1137443