Concepedia

Conditional Value-at-risk

Conditional Value-At-Risk is a risk measure in stochastic programming that quantifies the expected loss exceeding the Value-at-Risk threshold, distinguishing itself by providing a coherent and tail-sensitive evaluation of downside risk under uncertainty.

1.1K

Publications

64.9K

Citations

2.7K

Authors

1K

Institutions

Publications per year

2017–2026

622

Variants

AvarAverage Value-at-riskCvarEsExpected Tail Loss

Parents

Publications

1.1K

Optimization of conditional value-at-risk

R. T. Rockafellar, Stan Uryasev · The Journal of Risk · 2000 · 6.5K citations

, , +17

Conditional value-at-risk for general loss distributions

R. T. Rockafellar, Stan Uryasev · Journal of Banking & Finance · 2002 · 3.7K citations

, , +14

On the coherence of expected shortfall

Carlo Acerbi, Dirk Tasche · Journal of Banking & Finance · 2002 · 1.6K citations

, , +17

Risks and Portfolio Decisions Involving Hedge Funds

Vikas Agarwal, Narayan Y. Naik · Review of Financial Studies · 2003 · 1.3K citations

, , +17

Portfolio optimization with conditional value-at-risk objective and constraints

Pavlo A. Krokhmal, tanislav Uryasev, Jonas Palmquist · The Journal of Risk · 2001 · 778 citations

, , +17

1–5 of 1.1K

Authors

2.7K

  1. SU
    Stan Uryasev

    University of Florida, United States

    22 publications · 12.4K citations

    17

    h-index

  2. JP
    João P. S. Catalào

    INESC TEC, Portugal

    17 publications · 825 citations

    16

    h-index

  3. JC
    Javier Contreras

    University of Castilla-La Mancha, Spain

    10 publications · 771 citations

    10

    h-index

  4. MS
    Miadreza Shafie‐khah

    Universidade do Porto, Portugal

    10 publications · 499 citations

    10

    h-index

  5. ZH
    Zhu Han

    University of Houston, United States

    9 publications · 363 citations

    9

    h-index

1–5 of 2.7K

Institutions

1K

  1. Tsinghua University

    Beijing, China

    21 h-index

    31 publications

    1.7K citations

  2. University of Florida

    Gainesville, United States

    15 h-index

    18 publications

    6.7K citations

  3. North China Electric Power University

    Beijing, China

    14 h-index

    19 publications

    638 citations

  4. South China University of Technology

    Guangzhou, China

    14 h-index

    15 publications

    540 citations

  5. University of Castilla-La Mancha

    Ciudad Real, Spain

    13 h-index

    15 publications

    1.1K citations

  6. Universidade do Porto

    Porto, Portugal

    13 h-index

    14 publications

    796 citations

  7. University of Waterloo

    Waterloo, Canada

    13 h-index

    15 publications

    720 citations

  8. The University of Sydney

    Sydney, Australia

    12 h-index

    14 publications

    747 citations

1–8 of 1K

Venues

  1. IEEE Transactions on Power Systems

    53 publications · 4.2K citations

    38

    h-index

  2. SSRN Electronic Journal

    Repository · 47 publications · 2.5K citations

    25

    h-index

  3. IEEE Transactions on Smart Grid

    22 publications · 2.3K citations

    21

    h-index

  4. IEEE Transactions on Sustainable Energy

    TSTE · 26 publications · 2.1K citations

    20

    h-index

  5. Operations Research

    17 publications · 2.1K citations

    17

    h-index

1–5