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Calculating Conditional Value at Risk (CVaR) or Expected Shortfall – VaR and beyond

Calculating Conditional Value at Risk (CVaR) or Expected Short fall using Historical returns. Imagine a board meeting where you have just presented your Value at Risk (VaR) analysis and a board member asks a simple question. “So what are we talking about here? What is the expectation? What is the most that we can drop if […]

Related posts:

  1. Comparing Value at Risk (VaR) Models – VaR, Marginal VaR, Incremental Var & Conditional Var
  2. Probability of Shortfall and Expected Shortfall with or without Basel III – Financial Risk Management Training Course – Day Three Update
  3. Calculating Value at Risk (VaR): Step by Step Guide & Case study