CVaR

Value at risk ( VaR ) and conditional value at risk ( CVaR ) are the most frequently used risk measures in current risk management practice .

在目前各类风险管理实际操作中，ValueAtRisk（VaR）和ConditionalValueatRisk（CVaR）是最常用的风险度量方法。

Taking the conditional value at risk ( CVaR ) as risk management index , DistCos purchase allocation among multi electricity trading markets is studied .

采用条件风险价值理论研究供电公司在多个电力交易市场中的最优购电分配策略。

But VaR has enormous defect not only in theory but also in application , CVaR ( Conditional VaR ) becomes the new research focus as a kind of improvement of VaR.

但VaR无论在理论上还是应用上都还存在巨大缺陷，CVaR（ConditionalVaR）作为VaR的一种改进成为新的研究热点。

With the use of Monte Carlo simulation technology , the minimum conditional value at risk ( CVaR ) of the different confidence level and the composition of assets related are also analyzed .

在不同的电力交易市场中分配容量与证券市场中的资产组合类似，可通过建立均值&条件风险价值模型进行优化。

Value-at-Risk ( VaR ) is a widely used risk measuring index used in financial institutions in recent years . Conditional Value-at-Risk ( CVaR ) is the revised model of VaR with better properties than VaR.

风险价值（VaR）是金融机构广泛运用的风险度量指标，条件风险价值（CVaR）是VaR的修正模型。

Value-at-Risk ( VaR ) is a widely used risk measure index by financial institution in recent years . Conditional Value-at-Risk ( CVaR ) is the revised model of VaR , also called Mean Excess Loss or Tail VaR with better properties .

风险价值（VaR）是近年来金融机构广泛运用的风险度量指标，条件风险价值（CVaR）是VaR的修正模型，也称为平均超额损失或者尾部VaR，它比VaR具有更好的性质。