| Article ID: | iaor20083721 |
| Country: | Netherlands |
| Volume: | 35 |
| Issue: | 6 |
| Start Page Number: | 722 |
| End Page Number: | 730 |
| Publication Date: | Nov 2007 |
| Journal: | Operations Research Letters |
| Authors: | Brown David B. |
| Keywords: | Value at risk |
In this paper, we prove an exponential rate of convergence result for a common estimator of conditional value-at-risk for bounded random variables. The bound on optimistic deviations is tighter while the bound on pessimistic deviations is more general and applies to a broader class of convex risk measures.