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#tail_value_at_risk

Tail value at risk

Risk measure

In financial mathematics, tail value at risk (TVaR), also known as tail conditional expectation (TCE) or conditional tail expectation (CTE), is a risk measure associated with the more general value at risk. It quantifies the expected value of the loss given that an event outside a given probability level has occurred.

Sat 23rd

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Tail value at risk Tail risk Value at risk Coherent risk measure Expected shortfall Financial risk management Fat-tailed distribution Tail risk parity Outline of finance Risk
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