Jaan Tollander de Balsch
Jaan Tollander de Balsch
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Conditional Value at Risk
Measuring Tail Risk Using Conditional Value at Risk
This article explores the definition and properties of Conditional Value at Risk, a coherent risk measure for measuring tail risk. We also provide an implementation in Julia language for discrete probability distributions.
Jaan Tollander de Balsch
Last updated on 2020-09-16
Applied Mathematics