Balbás de la Corte, Alejandro; Balbás, Beatriz; … - In: Risks : open access journal 11 (2023) 12, pp. 1-21
Downside risk measures play a very interesting role in risk management problems. In particular, the value at risk (VaR) and the conditional value at risk (CVaR) have become very important instruments to address problems such as risk optimization, capital requirements, portfolio selection,...