Abstract
In this paper, we study the worst-case conditional value-at-risk (CoVaR) and conditional expected shortfall (CoES) in a situation where only partial information on the underlying probability distribution is available. In the case of the first two marginal moments are known, the closed-form solution and the value of the worst-case CoVaR and CoES are derived. The worst-case CoVaR and CoES under mean and covariance information are also investigated.
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