矩信息下条件在险价值和期望短缺的最坏可能值

Worst-case conditional value-at-risk and conditional expected shortfall based on covariance information

研究了在仅有概率分布的部分信息可用的情况下,条件在险价值(CoVaR)和条件期望短缺(CoES)的最坏可能值。在边缘分布的前两阶矩已知时,给出了CoVaR和CoES的最坏可能值以及显式解。并研究了均值和协方差信息下的CoVaR和CoES的最坏可能值。

In this paper,we study the worst-case conditional value-at-risk(CoVaR) and conditional expected shortfall(CoES) in a situation where only partial information on the underlying probability distribution is available.In the case of the first two marginal moments are known,the closed-form solution and the value of the worst-case CoVaR and CoES are derived.The worst-case CoVaR and CoES under mean and covariance information are also investigated.