{"id":"https://openalex.org/W4410279535","doi":"https://doi.org/10.20944/preprints202412.1657.v2","title":"Conditional Value at Risk(CVaR) - Enhancing Risk Assessment with Generative Models","display_name":"Conditional Value at Risk(CVaR) - Enhancing Risk Assessment with Generative Models","publication_year":2025,"publication_date":"2025-05-09","ids":{"openalex":"https://openalex.org/W4410279535","doi":"https://doi.org/10.20944/preprints202412.1657.v2"},"language":"en","primary_location":{"id":"doi:10.20944/preprints202412.1657.v2","doi":"https://doi.org/10.20944/preprints202412.1657.v2","is_oa":true,"landing_page_url":"https://doi.org/10.20944/preprints202412.1657.v2","pdf_url":"https://www.preprints.org/frontend/manuscript/7138eb6cff8c6ba88ccb4b03454bf6d2/download_pub","source":{"id":"https://openalex.org/S6309402219","display_name":"Preprints.org","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":["https://openalex.org/P4310310987"],"host_organization_lineage_names":["Multidisciplinary Digital Publishing Institute"],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},"volume":null,"type":"preprint","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://www.preprints.org/frontend/manuscript/7138eb6cff8c6ba88ccb4b03454bf6d2/download_pub","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5115546073","display_name":"Asadbek Yussupov","orcid":"https://orcid.org/0009-0008-6130-5437","observed_orcids":["https://orcid.org/0009-0008-6130-5437"]},"institutions":[{"id":"https://openalex.org/I13377790","display_name":"Ala-Too International University","ror":"https://ror.org/03kj11b67","country_code":"KG","type":"education","lineage":["https://openalex.org/I13377790"]}],"countries":["KG"],"is_corresponding":true,"raw_author_name":"Asadbek Yussupov","raw_affiliation_strings":["Department of Computer Science , Faculty of Engineering and Informatics , Ala-Too International University , Kyrgyzstan"],"raw_orcid":"https://orcid.org/0009-0008-6130-5437","affiliations":[{"raw_affiliation_string":"Department of Computer Science , Faculty of Engineering and Informatics , Ala-Too International University , Kyrgyzstan","institution_ids":["https://openalex.org/I13377790"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5063039198","display_name":"Ruslan Isaev","orcid":"https://orcid.org/0000-0003-4426-8837","observed_orcids":["https://orcid.org/0000-0003-4426-8837"]},"institutions":[{"id":"https://openalex.org/I13377790","display_name":"Ala-Too International University","ror":"https://ror.org/03kj11b67","country_code":"KG","type":"education","lineage":["https://openalex.org/I13377790"]}],"countries":["KG"],"is_corresponding":false,"raw_author_name":"Ruslan Isaev","raw_affiliation_strings":["Department of Computer Science , Faculty of Engineering and Informatics , Ala-Too International University , Kyrgyzstan"],"raw_orcid":"https://orcid.org/0000-0003-4426-8837","affiliations":[{"raw_affiliation_string":"Department of Computer Science , Faculty of Engineering and Informatics , Ala-Too International University , Kyrgyzstan","institution_ids":["https://openalex.org/I13377790"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5115546073"],"corresponding_institution_ids":["https://openalex.org/I13377790"],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":true,"cited_by_count":0,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.5220000147819519,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.5220000147819519,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.43630000948905945,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.009999999776482582,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/conditional-value-at-risk","display_name":"conditional value at risk","score":0.8489999771118164},{"id":"https://openalex.org/keywords/value-at-risk","display_name":"value at risk","score":0.7820000052452087},{"id":"https://openalex.org/keywords/tail-risk","display_name":"tail risk","score":0.8569999933242798},{"id":"https://openalex.org/keywords/denoising-diffusion-probabilistic-models","display_name":"denoising diffusion probabilistic models","score":0.8920000195503235},{"id":"https://openalex.org/keywords/generative-models","display_name":"generative models","score":0.8420000076293945},{"id":"https://openalex.org/keywords/risk-assessment","display_name":"risk assessment","score":0.5839999914169312},{"id":"https://openalex.org/keywords/extreme-market-events","display_name":"extreme market events","score":0.703000009059906},{"id":"https://openalex.org/keywords/risk-management","display_name":"risk management","score":0.5130000114440918},{"id":"https://openalex.org/keywords/interpretability","display_name":"interpretability","score":0.5389999747276306}],"concepts":[{"id":"https://openalex.org/C2779922397","wikidata":"https://www.wikidata.org/wiki/Q5014755","display_name":"CVAR","level":4,"score":0.9892213344573975},{"id":"https://openalex.org/C5496284","wikidata":"https://www.wikidata.org/wiki/Q5420856","display_name":"Expected shortfall","level":3,"score":0.6754222512245178},{"id":"https://openalex.org/C94128290","wikidata":"https://www.wikidata.org/wiki/Q963287","display_name":"Value at risk","level":3,"score":0.6211737990379333},{"id":"https://openalex.org/C2776291640","wikidata":"https://www.wikidata.org/wiki/Q2912517","display_name":"Value (mathematics)","level":2,"score":0.5225164890289307},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.46055352687835693},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.43771952390670776},{"id":"https://openalex.org/C12174686","wikidata":"https://www.wikidata.org/wiki/Q1058438","display_name":"Risk assessment","level":2,"score":0.4191087484359741},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.36833202838897705},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.33267486095428467},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.23958972096443176},{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.22846582531929016},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.14047059416770935},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.09312811493873596},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.09292203187942505},{"id":"https://openalex.org/C187736073","wikidata":"https://www.wikidata.org/wiki/Q2920921","display_name":"Management","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.20944/preprints202412.1657.v2","doi":"https://doi.org/10.20944/preprints202412.1657.v2","is_oa":true,"landing_page_url":"https://doi.org/10.20944/preprints202412.1657.v2","pdf_url":"https://www.preprints.org/frontend/manuscript/7138eb6cff8c6ba88ccb4b03454bf6d2/download_pub","source":{"id":"https://openalex.org/S6309402219","display_name":"Preprints.org","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":["https://openalex.org/P4310310987"],"host_organization_lineage_names":["Multidisciplinary Digital Publishing Institute"],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"}],"best_oa_location":{"id":"doi:10.20944/preprints202412.1657.v2","doi":"https://doi.org/10.20944/preprints202412.1657.v2","is_oa":true,"landing_page_url":"https://doi.org/10.20944/preprints202412.1657.v2","pdf_url":"https://www.preprints.org/frontend/manuscript/7138eb6cff8c6ba88ccb4b03454bf6d2/download_pub","source":{"id":"https://openalex.org/S6309402219","display_name":"Preprints.org","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":["https://openalex.org/P4310310987"],"host_organization_lineage_names":["Multidisciplinary Digital Publishing Institute"],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W4410279535.pdf","grobid_xml":"https://content.openalex.org/works/W4410279535.grobid-xml"},"referenced_works_count":6,"referenced_works":["https://openalex.org/W2100011707","https://openalex.org/W3036167779","https://openalex.org/W3122315731","https://openalex.org/W4224099799","https://openalex.org/W4366826333","https://openalex.org/W4390646527"],"related_works":["https://openalex.org/W4405583264","https://openalex.org/W2384833971","https://openalex.org/W2299719972","https://openalex.org/W3193174638","https://openalex.org/W4235236481","https://openalex.org/W2157535444","https://openalex.org/W7009648424","https://openalex.org/W3124407081","https://openalex.org/W7096368109","https://openalex.org/W3093162202"],"abstract_inverted_index":{"Conditional":[0],"Value-at-Risk":[1,22],"(CVaR)":[2],"is":[3],"one":[4],"of":[5,72,98,104],"the":[6,51,55,70,102],"most":[7],"popular":[8],"risk":[9,15,62],"measures":[10],"in":[11,14],"finance,":[12],"used":[13],"management":[16],"as":[17,34],"a":[18,29,59,95],"complementary":[19],"measure":[20],"to":[21,78,87],"(VaR).":[23],"VaR":[24,56],"estimates":[25],"potential":[26],"losses":[27,53],"within":[28],"given":[30],"confidence":[31],"level,":[32],"such":[33],"95%":[35],"or":[36],"99%,":[37],"but":[38],"does":[39],"not":[40],"account":[41],"for":[42,64],"tail":[43,89],"risks.":[44,106],"CVaR":[45,80,83],"addresses":[46],"this":[47],"gap":[48],"by":[49],"calculating":[50],"expected":[52],"exceeding":[54],"threshold,":[57],"providing":[58],"more":[60],"comprehensive":[61],"assessment":[63],"extreme":[65,105],"events.":[66],"This":[67],"research":[68],"explores":[69],"application":[71],"Denoising":[73],"Diffusion":[74],"Probabilistic":[75],"Models":[76],"(DDPM)":[77],"enhance":[79],"calculations.":[81],"Traditional":[82],"methods":[84],"often":[85],"fail":[86],"capture":[88],"events":[90],"accurately,":[91],"whereas":[92],"DDPMs":[93],"generate":[94],"wider":[96],"range":[97],"market":[99],"scenarios,":[100],"improving":[101],"estimation":[103],"However,":[107],"these":[108],"models":[109],"require":[110],"significant":[111],"computational":[112],"resources":[113],"and":[114],"may":[115],"present":[116],"interpretability":[117],"challenges.":[118]},"counts_by_year":[],"updated_date":"2026-11-09T13:22:03.289127","created_date":"2025-05-12T00:00:00"}
