Posts Tagged ‘ Conditional Value at Risk ’

The basics of Value at Risk and Expected Shortfall

October 23, 2012
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The basics of Value at Risk and Expected Shortfall

Value at Risk and Expected Shortfall are common risk measures.  Here is a quick explanation. Ingredients The first two ingredients are each a number: The time horizon — how many days do we look ahead? The probability level — how far in the tail are we looking? Ingredient number 3 is a prediction distribution of … Continue reading...

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