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Scaled Conditional Value at Risk


A measure of value at risk (VaR) that scales the risk envelope (defined/ target quantiles) of a conditional value at risk (CVaR). The scaled version helps overcome the ambiguity of CVaR in the so-called corner case (where the target quantile is zero).

Subject to a set of propositions, the outcomes are fine-tuned to better reflect the element of risk being measured (e.g., concavity of the objective, continuous local martingale, and so on).



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Risk management is a collection of tools, techniques and regimes that are used by businesses to deal with uncertainty. This involves planning and ...
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