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Abstracts prior to volume 5(1) have been archived!

Issue 5(1), October 2010 -- Paper Abstracts
Girard  (p. 9-22)
Cooper (p. 23-32)
Kunz-Osborne (p. 33-41)
Coulmas-Law (p.42-46)
Stasio (p. 47-56)
Albert-Valette-Florence (p.57-63)
Zhang-Rauch (p. 64-70)
Alam-Yasin (p. 71-78)
Mattare-Monahan-Shah (p. 79-94)
Nonis-Hudson-Hunt (p. 95-106) 



JOURNAL OF ACCOUNTING AND FINANCE 


Risk Measurement-Value at Risk (VaR) Versus Conditional Value at Risk (CVaR): A Teaching Note




Author(s): Cao Minh Duc, Alex Faseruk, Ashrafee Hossain

Citation: Cao Minh Duc, Alex Faseruk, Ashrafee Hossain, (2018) "Risk Measurement-Value at Risk (VaR) Versus Conditional Value at Risk (CVaR): A Teaching Note",  Journal of Accounting and Finance, Vol. 18, ss. 6, pp. 86-93

Article Type: Research paper

Publisher: North American Business Press

Abstract:

Financial history has demonstrated that desirable and undesirable outcomes are always possible.
Participants in the industry have made substantial progress in quantifying and mitigating many sources
of risks. One more recent indicator is value at risk (VaR). However, this technique remains controversial, despite being an industry standard. Several studies have identified limitations with VaR. This teaching note compares it to conditional value at risk (CVaR) to demonstrate both the usefulness and limitations of these techniques and provide recommendations concerning which risk measurement method is more prudent under selected states of nature to aid professors in explaining the usefulness of VaR and CVaR.