In this paper, we study the asymptotic behavior of randomly perturbed Chan–Karolyi–Longstaff–Sanders (CKLS) model with small parameter ε. When ε→0, the central limit theorem and moderate deviation principle for the solution of randomly perturbed CKLS model are obtained.

We study asymptotic behavior of the empirical conditional value-at-risk (CVaR). In particular, the Berry–Essen bound, the law of iterated logarithm, the moderate deviation principle and the large deviation principle for the empirical CVaR are obtained. We also give some numerical examples.