A measure of value at risk (VaR) that scales the risk envelope (defined/ target quantiles) of a conditional value at risk (CVaR). The scaled version helps overcome the ambiguity of CVaR in the so-called corner case (where the target quantile is zero).
Subject to a set of propositions, the outcomes are fine-tuned to better reflect the element of risk being measured (e.g., concavity of the objective, continuous local martingale, and so on).
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