Average-Value-at-Risk

Cambridge University Press eBooks 2026 Book chapter

View at publisher
Authors: Ilya Molchanov, Johanna F. Ziegel
DOI: 10.1017/9781009710916.004
Cited by: 0

Abstract

The Average-Value-at-Risk (AV@R) has emerged as a superior, coherent risk measure that accounts for the magnitude of potential losses beyond a given quantile and consistently favors diversification.

Fields of Study & Subjects

Risk and Portfolio Optimization Financial Risk and Volatility Modeling Probability and Risk Models

Publication details

Journal / source
Cambridge University Press eBooks
Pages
43–54
Publication date
26 February 2026
Language
EN
Document type
Book chapter