Jim Daniel's STAM Seminar Excerpts

Risk measures; VaR and TVaR

Risk measures; VaR and TVaR describes risk measures, and especially Value-at-Risk (VaR) and Tail-Value-at-Risk (TVaR). This is unlikely to be even moderately tested, but when tested the questions are likely to be easy. It contains about 3.5 pages of text. Here is the table of contents:

  • 1.1 Risk measures in general
  • 1.2 Value-at-Risk
  • 1.3 Tail-Value-at-Risk

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