11
votes
2answers
3k views

How does left tail risk differ from right tail risk?

How does left tail risk differ from right tail risk? In what context would an analyst use these metrics?
17
votes
2answers
663 views

How are distributions for tail risk measures estimated in practice?

Let's say you want to calculate a VaR for a portfolio of 1000 stocks. You're really only interested in the left tail, so do you use the whole set of returns to estimate mean, variance, skew, and shape ...