Jaan Tollander de Balsch
Jaan Tollander de Balsch
Home
Books
Posts
Projects
Newsletter
Experience
Skills
Contact
Sponsor
About
Tail 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.
Cite
×