/

ProbDistTailValueAtRisk

[this page | pdf | back links]

Interactively run this function

Answer  
-1.37812658618225

Parameter NameInputAn input expression?Delimiter
DistributionName
alpha
ParamValues

Calculation description
Time-stamp calculation?  
  


Function Description

Returns the Tail Value-At-Risk, TVaR (also called Conditional Value-at-Risk, CVaR) for a given confidence level  for a probability distribution given by DistributionName and with parameter values given in ParamValues (with their order matching the parameter names listed by MnProbDistParamNames), i.e.:

 

 

where

 

Probability distributions currently recognised by the website may be listed using MnRecognisedProbDists.

 


NAVIGATION LINKS
Contents | Prev | Next


Links to:

-          Interactively run function

-          Interactive instructions

-          Example calculation

-          Output type / Parameter details

-          Illustrative spreadsheet

-          Other Probability distribution analysis functions

-          Computation units used


Note: If you use any Nematrian web service either programmatically or interactively then you will be deemed to have agreed to the Nematrian website License Agreement


Desktop view | Switch to Mobile