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Portfolio Analysis / Risk Measures / Conditional Value At Risk Estimation

Gaussian Conditional Value At Risk

Compute the Gaussian conditional value at risk of a portfolio.

References

Boudt, Kris and Peterson, Brian G. and Croux, Christophe, Estimation and Decomposition of Downside Risk for Portfolios with Non-Normal Returns (October 31, 2007). Journal of Risk, Vol. 11, No. 2, pp. 79-103, 2008.

post/portfolios/analysis/value-at-risk/conditional/estimation/parametric/gaussian

Request body

confidenceLevelnumber

The confidence level

Response

OK