Mattias Letmark: Robustness of Conditional Value-at-Risk (CVaR) when measuring market risk across different asset classes

We investigate the robustness of Conditional Value-at-Risk (CVaR) for market risk. The analysis is performed on different asset classes including stock indexes, bond indexes, exchange rates and individual stocks. We find that a robust CVaR measure can be constructed for almost all of these assets. The key issue is to choose appropriate parameters, such as confidence levels and ex ante window size for the CVaR estimator. However, in some cases, the CVaR measure is not robust, which happens primarily when measuring market risk on individual stocks.