TY  - RPRT
AU  - Balbás, Alejandro
AU  - Balbás, Beatriz
AU  - Balbás Aparicio, Raquel
PY  - 2017
SN  - 1989-8843
UR  - https://hdl.handle.net/20.500.14352/22962
T2  - Journal of Computational and Applied Mathematics
AB  - The Value at Risk (VaR) is a very important risk measure for practitioners, supervisors and researchers. Many practitioners draw on VaR as a critical instrument in Risk Management and other Actuarial/Financial problems, while supervisors and...
LA  - eng
M2  - 247
A3  - Universidad Carlos III de Madrid. Instituto para el Desarrollo Empresarial
KW  - VaR and CVaR
KW  - Differential equations
KW  - VaR representation theorem
KW  - Risk optimization and probabilistic constraints
KW  - Risk and marginal risk estimation.
TI  - Differential equations connecting VaR and CVaR
TY  - technical report
VL  - 326
ER  -