CVaR and VaR
The document is intended as a teaching aid for graduate students who are beginning to study risk-aware optimization and tail-risk measures.
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This note provides a concise MathWorks-style description of the MATLAB function empirical_var_cvar, which computes the empirical Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR) from sample loss data. The document is intended as a teaching aid for graduate students who are beginning to study risk-aware optimization and tail-risk measures.
Cite As
Chixin Xiao (2026). CVaR and VaR (https://www.mathworks.com/matlabcentral/fileexchange/183465-cvar-and-var), MATLAB Central File Exchange. Retrieved .
General Information
- Version 1.0.1 (2.03 KB)
MATLAB Release Compatibility
- Compatible with any release
Platform Compatibility
- Windows
- macOS
- Linux
