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 Fuzzy Value-at-Risk and Fuzzy Conditional Value-at-Risk:
Two Risk Measures under Fuzzy Uncertainty
Zhaoxia Shang , Hong Liu, Xiaoxian Ma, Yanmin Liu
*School of Information Science and Engineering, Shandong Normal University, Shandong
Provincial Key Laboratory for Distributed Computer Software Novel Technology.
250014 gogogo144@163.com
Abstract
This paper deals with two risk management tools
and their application on Economical crisis
management. Next points out some problems in their
research and application and the direction of research,
introduced some concept and formula, finally puts
forward the prospect.
1. Introduction
Risk measure is essentially important factor in
financial decision making under uncertainty which is
generally understood to have two aspects: probability
uncertainty and fuzzy uncertainty. Most of the existing
risk measures are based on the probability theory.
Variance was first proposed by Markowitz to measure
the risk associated with the return of assets in
probability framework. Since the middle of 1990s,
Value-at-Risk (VaR), a measure of downside risk, has
become popular in financial risk management and has
even been recommended as a standard on banking
supervision by Basel Committee[16]. One can find
plenty of materials on the theory, modeling,
algorithms, and applications related to VaR at
http://www.gloriamundi.org which is updated on-line.
As an alternative measure of risk, Conditional Value-
at-Risk (CVaR), a coherent risk measure[14], defined
as the mean of the tail distribution exceeding VaR, has
been proposed as a natural remedy for the deficiencies
of VaR which is not a coherent risk measure in general
in the sense of Artzner et al.[3]. Moreover, minimizing
CVaR can be achieved by minimizing a more tractable
auxiliary function without predetermining the
This project is founded by National Natural Science Foundation of
China (No. 60970004, No. 60743010 ) and supported by Natural
___________________________________
Science Foundation of Shandong Province (No. Z2008G02).
978-1-4244-6359-6/10/$26.00 ©2010 IEEE
282
corresponding VaR first, and at the same time, VaR
can be calculated as a by-product[17, 18]. Up to now,
VaR and CVaR are investigated and applied
extensively in financial management[1, 2, 8, 13].
Though probability theory is one of the main tools
used for analyzing uncertainty in finance, it cannot
describe uncertainty completely since there are some
other uncertain factors that differ from the random
ones found in financial markets. In reality, many
events with fuzziness are characterized by probabilistic
approaches although they are not random events [21].
Some other techniques have also been applied to
handle the uncertainty of the financial markets, for
instance, fuzzy set theory [22]. Fuzzy set theory
provides a framework to deal with problems in which
the source of imprecision is the absence of sharply
defined criteria of class membership rather than the
presence of random variables and provides an excellent
framework for analysis. Fuzzy set theory has been
widely used to solve many practical problems
including financial risk management. By using fuzzy
approaches, quantitative analysis, qualitative analysis,
the experts’ knowledge and the investors’ subjective
opinions can be better integrated in a financial
optimization model. Recently, a few authors, such as
Ramaswamy [15], Tanaka and Guo [19] and Carlsson
and Fuller[5] studied fuzzy financial optimization
problem. Inuiguchi and Ramik [9] surveyed the
advantages and disadvantages of fuzzy mathematical
programming approaches compared with stochastic
programming, and reviewed the newly developed ideas
and techniques in fuzzy mathematical programming.
Wang and Zhu [21] summarized on fuzzy portfolio
selection. One can refer to Bellman and Zadeh [4] and
Zimmermann [24] for a detailed discussion on the
fuzzy decision theory.
Possibility theory was proposed by Zadeh [23] and
advanced by Dubois and Prade [7] where fuzzy
variables are associated with possibility distributions in Let Θ be a nonempty set, and P (Θ) the power
a similar way that random variables are associated with
set of Θ . Then Pos is called a possibility measure if
probability distributions in the probability theory. The
possibility distribution function of a fuzzy variable is it satisfies the following three axioms.
usually defined by the membership function of the Axiom 1. P (Θ) = 1 ;
corresponding fuzzy set. Possibility and necessity
measures play a key role in possibility theory and are Axiom 1. P (∅ ) = 0 ;
used to model financial optimization problems.
However, it is clear, a fuzzy event may fail even Axiom 1. Pos{∪i Ai } = Supi Pos{ Ai } for any
though its possibility achieves 1, and hold even though
collection { Ai } in P (Θ) .
its necessity is 0. The credibility measure, defined by
the average of the possibility measure and necessity Let Θ be a nonempty set, P (Θ) the power set of
measure, might deserve to be used in financial Θ , and Pos a possibility measure. Then the triplet
optimization modelling. A fuzzy event must hold if its
credibility achieves 1, and fail if its credibility is 0.
(Θ, P (Θ), Pos ) is called a possibility space.
One can refer to [10] for details. A fuzzy variable ξ is defined as a function from a
Cherubini and Lunga [6] presented a value-at-risk
measure which accounts for market liquidity and possibility space ( Θ, P (Θ), Pos ) to the set of real
showed that taking into account market liquidity
numbers.
implies a decoupling of valuation of long and short
positions. Zmeskal [25] described an approach to For a fuzzy variable ξ, its membership function
model uncertainty of the international index portfolio
by the value at risk methodology under soft conditions can be derived from the possibility measure by the
by fuzzy-stochastic methodology. Vercher et al. [20]
expression
presented two fuzzy portfolio selection models where
the objective is to minimize the downside risk
constrained by a given expected return. However, few
μ ( x) = Pos {θ ∈ Θ ξ (θ ) = x} , x ∈ R .
papers are reported on VaR and CVaR defined in fuzzy
environments and measured risk with them. (2.1)
Possibility, necessity or credibility distributions can Dubois and Prade[7] developed the possibility
use to characterize experts' knowledge, historical data,
and prediction results. In this paper, based on measure and necessity measure as follows. Let r be a
credibility measure introduced by Liu and coauthors real number and ξ be a fuzzy variable. The possibility
[11, 12], we introduce two novel risk measures, named
Fuzzy Value-at-Risk(FVaR) and Fuzzy Conditional and necessity measure of {ξ ≤ r} are respectively
Value-at-Risk(FCVaR) that can be applied in the fuzzy
financial environment, and discuss some properties of defined as:
the two risk measures. The rest of the paper is
organized as follows. In Section 2, we briefly review Pos{ξ ≤ r} = sup μ ( x) ,
x≤ r
the related concepts in credibility theory, such as fuzzy
variable, expected value operator, distorted function (2.2)
and Choquet integral. In Section 3, we define the
concepts of FVaR and FCVaR and discuss their Nec{ξ ≤ r } = 1 − sup μ ( x) .
properties. Conclusions and future research are x >r
discussed in section 4. Mathematical derivations of (2.3)
some Lemmas are provided in the appendix.
Remark 2.1 The possibility measure is a conjugate
2. Credibility Measure, Distorted Function or dual of the necessity measure.
and Choquet Integral A n − dimensional fuzzy vector  is defined as a

In this section, we introduce some concepts and function from the possibility space ( Θ, P (Θ), Pos )
lemmas that benefit main properties of fuzzy risk
measures. to the set of n − dimensional real vectors. It can be

283
proved that the vector  = (ξ1 , ξ 2 ," , ξ n )T is a fuzzy (2.4)
Lemma 2.1 Let (Θ, Ρ(Θ), Pos ) be a possibility
vector if and only if ξi (i = 1, 2," , n) are fuzzy
space. Then we have
variables. Throughout, vectors will be denoted in bold,
(1) Cr {A} ≤ Cr {B} whenever A ⊂ B ;
to be distinguished from variables.

Let f : Rn → R be a function and (2) Cr {A} + Cr {A c } = 1 , for any A ∈ Ρ(Θ) ;

 = (ξ1 , ξ 2 ," , ξ n )T be a fuzzy vector on the (3) Cr {A * B} ≤ Cr {A} + Cr{B} , for any

possibility space ( Θ, P (Θ), Pos ). Then A, B ∈ Ρ(Θ) .

This result shows that the credibility measure is a
η = f (ξ1 , ξ 2 ," , ξ n ) is a fuzzy variable defined as
monotone, self dual and subadditive measure. Proof for
η (θ ) = f (ξ1 (θ ), ξ 2 (θ )," , ξ n (θ )) for any θ ∈Θ . this result can be found, for example, in [12].

η and ζ are fuzzy variables in the possibility Definition 2.2 [11] Let ξ be a fuzzy variable. Then

space (Θ, Ρ(Θ), Pos ) . We say that η and ζ are the expected value of a fuzzy variable ξ is defined by
∞
E[ξ ] = ³ Cr {ξ ≥ r}dr − ³ Cr{ξ ≤ r }dr
noninteractive if, and only if, the equality 0
,
0 −∞
Pos{η ∈ B1,ζ ∈ B2} = min{Pos{η ∈ B1}, Pos{ζ ∈ B2}}
(2.5)
holds for any subsets B1 , B2 ⊂ R .
provided that at least one of the two integrals is finite.
A fuzzy variable is said to be normal if there exists
The expected value of a fuzzy variable is a Choqute
a real number r such that μ (r ) = 1 . We always Integral since the credibility measure is self dual.
assume that the fuzzy variables are normal in this paper. Lemma 2.2 Let ξ1 ," , ξ n be noninteractive fuzzy
Let (Θ, Ρ(Θ), Pos ) be a possibility space, a variables with finite expected values.
possibility measure Pos is called concave if it ai , i = 1, 2," , n are constant. Then we have
satisfies
E[a1ξ1 + " + anξ n ] = a1 E[ξ1 ] + " + an E[ξ n ] .
Pos ( A * B ) + Pos ( A  B ) ≤ Pos ( A) + Pos ( B ) ,
Proof for this result can be found, for instance, in
for any A, B ∈ Ρ (Θ) . Pos is called convex if the
[12].
reversed inequalities hold. The Choquet integral has been used extensively for
The credibility measure and its expected value pricing insurance premium in probability space. Risk
were introduced in Liu and Liu[11]. The credibility measures in possibility space may be cast as a Choquet
measure has self-duality property which is not integral which is expected value of a variable under an
possessed of possibility measure or necessary measure. appropriate distortion of the original possibility
Definition 2.1 The credibility measure of {ξ ≤ r} is distribution. We now give the following definitions.

defined as: Definition 2.3 A non-decreasing function

1 g :[0,1] → [0,1] satisfying g (0) = 0 and g (1) = 1

Cr {ξ ≤ r} =
2
( Pos {ξ ≤ r} + Nec {ξ ≤ r}) .
is called a distortion function.

284
Definition 2.4 Given a distortion function, g , the dual decreases the risk measure by α . The subadditivity

distortion function, g , is defined by property is a crucial property related to convexity, and

it implies that we can do no worse by combining risks.
g (u ) = 1 − g (1 − u ), u ∈ [0,1] .
The positive homogeneity property reflects the
Definition 2.5 Let η be fuzzy variable in the
effectiveness that risk is positive proportional to
possibility space (Θ, Ρ (Θ), Pos ) . The Choquet
position of investment. The monotonicity property says
integral of the fuzzy variable with respect to distortion
function g is defined by that, if one portfolio is always more optimal than
+∞ 0 another portfolio under all realizations, then any
H g (η ) = ³ g (Cr{η ≥ r})dr − ³ g (Cr{η ≤ r})dr .
0 −∞
sensible risk measure should imply that the more

3. Fuzzy Risk Measures and Their optimal portfolio is less risky. See [3] for a more
Properties detailed discussion of the intuition behind these
axioms.
In this section, we introduce definitions of FVaR
There are n assets i = 1, " , n to be invested in the
and FCVaR about a loss function of portfolio assets
financial market that we consider. The return rate of
in a financial market and discuss their properties.
each asset is assumed to be a fuzzy variable. The fuzzy
Artzner et al.[3] presented and justified a set of
return rate of asset i is ξ , i = 1, " , n .
four desirable properties for measures of risk. It gave a i

unified framework for the analysis, construction, and Let f (x,  ) : R n × R n → R be the loss
implementation of measures of risk.
associated with the decision vector x , to be chosen
Let Ω be the set of states of nature, and assume it
from a certain subset X ⊆ R n and fuzzy return vector.
is finite, G be the set of all risks, that is the set of all
The vector x can be interpreted as representing a
real-valued functions on Ω . A measure of risk ρ is
portfolio, with X as the set of available portfolios
a mapping from G into R . subject to various constraints. The vector  stands for
Translation invariance. For all X ∈ G and all real the uncertainties that can affect the loss. The portfolio
numbers α , we have ρ ( X + α ) = ρ ( X ) − α . x is optimal to portfolio y , i.e., x ≥ y means
Subadditivity. For all X1 and f ( x,  ) ≤ f ( y ,  ) .
X 2 ∈ G, ρ ( X 1 + X 2 ) ≤ ρ ( X 1 ) + ρ ( X 2 ) . For each x , the loss function f (x,  ) is a fuzzy
Positive homogeneity. For all λ≥0 and all X ∈G , variable. The expected value of f (x,  ) for any
ρ (λX ) = λρ ( X ) . x ∈ X is
Monotonicity. For all X and Y ∈ G with Y ≥ X , ∞
E[ f (x,)] = ³ Cr{ f (x,) ≥r}dr −³ Cr{ f (x,) ≤ r} dr .
0

0 −∞
we have ρ (Y ) ≤ ρ ( X ) .
(3.1)
The intuition behind these risk measures is fairly
The credibility of f (x,  ) not exceeding a
clear. The translation invariance property means that
adding the sure amount α to the return simply
threshold r is given by

285
ψ (x, r ) = Cr { f (x,  ) ≤ r} . defined by Definition 3.1 is a Choquet integral, where
the distortion function is defined by
(3.2)
­0, u ∈ [0,1 − β ]
Definition 3.1 Let  be a fuzzy vector and β ∈ (0,1) g (u ) = ® .
¯ 1, u ∈ (1 − β ,1]
be a confidence level. The Fuzzy Value-at-Risk is
defined by ­0, u ∈ [0,1 − β ]
Proof: Since g (u ) = ® ,
FVaRβ ( x) = inf {r ∈ R ψ ( x, r ) ≥ β } . ¯ 1, u ∈ (1 − β ,1]
­0, u ∈ [0, β )
(3.3) g (u ) = ® .
It values for the loss associated with x and any ¯ 1, u ∈ [ β ,1]

prescribed confidence level β ∈ (0,1) , commonly, β We first prove the case that FVaRβ (x) > 0 , x ∈ R n .
is close to one. FVaRβ (x) is an increasing and left- For any r ∈ (0, FVaRβ (x)) , by definition of
continuous function of β. FVaRβ (x) and credibility measure being self dual,
Definition 3.2 Let  be a fuzzy vector and β ∈ (0,1) we have Cr{ f (x,  ) ≤ r} < β , then
be a confidence level. The Fuzzy Conditional Value-at-
Cr{f (x,) ≥r}≥Cr{f (x,) >r}=1−Cr{f (x,) ≤r}>1−β .
Risk is defined by
+∞ For any r ∈ ( FVaRβ (x), +∞) , we have
FCVaRβ (x) = FVaRβ (x)+(1−β)−1³ Cr{f (x,) −FVaRβ (x) ≥r}dr .
0
, ) ≥r}≤Cr{f (x
Cr{f (x , ) ≤FVaRβ(x)}=1−β .
, ) >FVaRβ(x)}=1−Cr{f (x
(3.4)
provided the integral is finite. Hence, by definition of g , we have
It values for the conditional expectation of losses +∞

above that amount FVaRβ (x) associated x and any

³0
g (Cr{ f (x,  ) ≥ r})dr
FVaRβ ( x )
prescribed confidence level β ∈ (0,1) . =³ g (Cr{ f (x,  ) ≥ r})dr
0
+∞
Remark 3.1 If the possibility and necessity of +³ g (Cr{ f (x,  ) ≥ r})dr
FVaRβ ( x )
f (x,  ) not exceeding a threshold r are given by
= FVaRβ (x) .
ψ (x, r ) = Pos { f (x,  ) ≤ r} ,
(3.7)
(3.5)
For any r ∈ (−∞, 0) , we have r < FVaRβ (x) , then
and ψ (x, r ) = Nec { f (x,  ) ≤ r} ,
Cr{ f (x,  ) ≤ r} < β . Hence,
(3.6)
0
we can obtain the different definitions of
³−∞
g (Cr{ f (x,  ) ≤ r})dr = 0 .
FVaRβ (x) and FCVaRβ (x) .
(3.8)
Proposition 3.1 Let  be a fuzzy vector Combined (3.7) with (3.8), it confirms the case that

and β ∈ (0,1) be a confidence level. The FVaR FVaRβ (x) > 0 .

286
 Now we prove the case that FVaRβ (x) ≤ 0 . satisfies translation invariance, positive homogeneity
and monotonicity.
For any r ∈ (0, +∞ ) , we have
Proof: Translation invariance: The total loss is
Cr{ f ( x, ) ≥ r} ≤ Cr{ f ( x, ) > FVaRβ (x)} ≤ 1 − β . f (x,  ) − b when wealth b is added to invest as
By definition of g , we have f (x,  ) is the loss associated with the portfolio
+∞ vector x and we have
³ g (Cr{ f (x,  ) ≥ r})dr =0 .
{ }
0
inf r Cr { f (x,  ) − b ≤ r} ≥ β
(3.9)

For any r ∈ ( FVaRβ (x), 0) , we have {

= inf r − b Cr { f (x,  ) ≤ r} ≥ β }
Cr{ f ( x,  ) ≤ r} ≥ β .
{
= inf r Cr { f (x,  ) ≤ r} ≥ β − b . }
For any r ∈ ( −∞, FVaRβ (x)) , we have
This confirms translation invariance of FVaRβ .
Cr{ f ( x,  ) ≤ r} < β . By definition of g ,
0
Positive homogeneity: For any λ ≥0, we have
³−∞
g (Cr{ f (x,  ) ≤ r})dr
inf {r Cr{λ f (x,  ) ≤ r} ≥ β }
FVaRβ ( x )
=³ g (Cr{ f (x,  ) ≤ r})dr = λ inf {r Cr{ f (x,  ) ≤ r} ≥ β } . This confirms
−∞
0
+³ g (Cr{ f (x,  ) ≤ r})dr positive homogeneity of FVaRβ .
FVaRβ ( x )

0 Monotonicity: For any x ≤ y , we have

= 0+ ³ dr
f ( x,  ) ≥ f ( y ,  )
FVaRβ ( x )
and
= − FVaRβ ( x) . Cr { f (y,  ) ≤ r} ≥ Cr { f (x,  ) ≤ r} . Therefore,
(3.10)
Combined (3.9) with (3.10), it confirms the case {
inf r Cr { f (y ,  ) ≤ r} ≥ β }
that FVaRβ ( x) ≤ 0 and finishes the proof of
{
≤ inf r Cr { f (x,  ) ≤ r} ≥ β } . This confirms
Proposition 3.1.
monotonicity of FVaRβ and finishes the proof of
This non-decrease function g (u ) is not
Proposition 3.2.
continuous at point 1 − β .
Proposition 3.3 Let  be a fuzzy vector
Proposition 3.2 Let f ( x,  ) be the loss associated
and β ∈ (0,1) be a confidence level. The FCVaR
with the portfolio vector x , to be chosen from a
defined by Definition 3.2 is a Choquet integral, where
certain subset X ⊆ R n , the fuzzy return vector
the distortion function is defined by
 ∈ R in the possibility space (Θ, Ρ(Θ), Pos ) , and
n
g (u ) = min{u /(1 − β ),1}, u ∈ [0,1] .
any prescribed confident level β ∈ (0,1) . FVaRβ Proof:

287
Since g (u ) = min{u /(1 − β ),1}, u ∈ [0,1] , +∞
³ 0
g (Cr{ f (x,  ) ≥ r})dr
g (u ) = max{0, (u − β ) /(1 − β )}, u ∈ [0,1] . 1 +∞

We first prove the case that FVaRβ (x) > 0 , x ∈ R n .

=
1− β ³ 0
Cr{ f (x,  ) ≥ r}dr

1 +∞
For any r ∈ (0, FVaRβ (x)) , by definition of =
1− β ³ − FVaRβ ( x )
Cr{ f (x,  ) − FVaRβ (x) ≥ r}dr
FVaRβ (x) and credibility measure being self dual, . (3.13)

Cr{ f (x,  ) ≤ r} ≤ β , then For any r ∈ ( FVaRβ (x), 0) , Cr{ f (x,  ) ≤ r} ≥ β .

Cr{ f (x,  ) ≥ r} ≥ Cr{ f (x,  ) > r} = 1 − β . For any r ∈ (−∞, FVaRβ (x)) ,

For any r ∈ ( FVaRβ (x), +∞) , Cr{ f (x,  ) ≤ r} ≤ β . Then we have

Cr{ f (x, ) ≥ r} ≤ Cr{ f (x, ) > FVaRβ (x)} ≤ 1− β .

0
³ −∞
g (Cr{ f (x,  ) ≤ r})dr
Therefore, we have
0
+∞ = ³ g (Cr{ f (x,  ) ≤ r})dr +
³0
g (Cr{ f (x,  ) ≥ r})dr FVaRβ ( x )

FVaRβ ( x )

=³
FVaRβ ( x )
g (Cr{ f (x,  ) ≥ r})dr ³ −∞
g (Cr{ f (x,  ) ≤ r})dr
0
+∞ 0 Cr{ f (x,  ) ≤ r} − β
+³ g (Cr{ f (x,  ) ≥ r})dr =³ dr
FVaRβ ( x ) FVaRβ ( x ) 1− β
1 +∞
1 −FVaRβ (x)
= FVaRβ (x) +
1− β ³FVaRβ ( x )
Cr{ f (x,  ) ≥ r}dr =−
1− β ³0
Cr{ f (x, ) − FVaRβ (x) ≥ r}dr − FVaRβ (x)

1 +∞ . (3.14)

1− β ³0
= FVaRβ (x) + Cr{ f (x, ) − FVaRβ (x) ≥ r}dr .
Combined (3.13) with (3.14), it confirms the case that

(3.11) FVaRβ (x) ≤ 0 and finishes the proof of Proposition

For any r ∈ (−∞, 0) , we have 3.3.

Cr{ f (x,  ) ≤ r} ≤ β . Then, This non-decrease function g (u ) is continuous

0 on [0,1] .
³−∞
g (Cr{ f (x,  ) ≤ r})dr = 0 .
Proposition 3.4 Let f (x,  ) be the loss associated
(3.12)
with the portfolio vector x , to be chosen from a
Combined (3.11) with (3.12), it confirms the case that
certain subset X ⊆ R n , the fuzzy return vector
FVaRβ (x) > 0 .
 ∈ R n in the possibility space (Θ, Ρ(Θ), Pos ) , and
Now we prove the case that FVaRβ (x) ≤ 0 .
any prescribed confident level β ∈ (0,1) . The
For any r ∈ (0, +∞) , we have
FCVaRβ satisfies translation invariance, positive
Cr{ f (x,  ) ≥ r} ≥ 1 − β . Therefore,
homogeneity and monotonicity.

288
Proof: Translation invariance and
homogeneity can be obtained by translation invariance
and positive homogeneity of FVaRβ and definition
of FCVaRβ (x) .
Monotonicity: For any x≤y
have f (x,  ) ≥ f (y ,  ) , FVaRβ (x) ≥ FVaRβ (y ) ,
and
+∞
FVaRβ (x) + (1− β )−1 ³ Cr{ f (x, ) − FVaRβ (x) ≥ r}dr
0
+∞
≥ FVaRβ (x) + (1− β )−1³ Cr{ f (y, ) − FVaRβ (x) ≥ r}dr
0
= FVaR β ( y ) + (FVaR β ( x) − FVaR β ( y ))
FVaRβ (x)−FVaRβ (y)
−(1− β )−1 ³ Cr{ f (y, ) − FVaRβ (y) ≥ r}dr
0 [3] P. Artzner, F. Delbaen, J.-m. Eber, and D. Heath,
≥ FVaRβ ( y ) +
(1− β ) ³ Cr{ f ( y, ξ ) − FVaR β ( y) ≥ r}dr .
−1
The last inequality follows from the inequality
Cr{ f (y ,  ) − FVaRβ (y ) ≥ r} ≤ 1 − β , for any
r ≥0.
This confirms monotonicity of FCVaRβ and
finishes the proof of Proposition 3.4.
4. Conclusions and Discusses
In probability framework, both VaR and CVaR are
important instruments in risk management and
portfolio selection. In possibility framework, in order
to measure risk under fuzzy uncertainty, we propose
two risk measures FVaR and FCVaR. They can play a
role in possibility space similar to VaR and CVaR in
probability space. We will apply the two risk measures
to portfolio optimization model in next research.
Risk management is currently receiving a great deal
of attention. There are various attempts to define and to
characterize the risk for descriptive as well as
prescriptive purpose. Value at risk is the most
frequently used risk measures in current risk
management practice [26]. Design of the model based
on the new world economic pattern and economic
instability. This model provides new methodology of
positive analysis and research. We gave the risk some
management and control. Value at risk (VaR) is a
measure for senior management that summarises the
financial risk a company faces into one single number
[27]. CVaR is the modified model of VaR model. The
force that relies on considering the combination of
CVaR and VaR is balanced burden and dispersive risk.
, we The new model is effective for reduce the risk through
put forward the mathematical abstraction for
measurement of risk.
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