Tail Value at Risk
Key Facts
Abbreviation
TVAR
Pronunciation
/teɪl ˈvælju æt rɪsk/
Category
Miscellaneous
Related Field
Unclassified
Examples in Context
- On the basis of one or second order expansion form satisfied by financial asset returns ″ fat tail ″ distribution. This paper build the relationship between shape parameter, threshold and VaR ( value at risk ).