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Results tagged with value-at-risk
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user 5669
Value-at-Risk is a family of measures used to help the owner of a position to assess its "worst case value".
5
votes
CVaR/VaR Ratio as alpha goes to 1
If the loss distribution is normal with mean $\mu$ and variance $\sigma^2$, then the Value-at-Risk and Expexted Shortfall (or CVaR) at level $\alpha \in (0, 1)$ are
\begin{align*}
\mbox{VaR}_\alpha & …
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