VaR versus TVar Mindsets
This presentation explores the difference between Value-at-Risk (VaR) and Tail Value-at-Risk (TVaR), the underlying mindsets for which each is most applicable and implications of this analysis.
Slides
1 | VaR versus TVaR Mindsets |
2 | VaR versus TVaR Mindsets |
3 | Value-at-Risk |
4 | VaR versus Tail VaR (TVaR) |
5 | Mathematical definitions |
6 | Coherence |
7 | What are the underlying mindsets? |
8 | Which takes into account loss in the event of default? |
9 | Different stakeholder perspectives (1) |
10 | Different stakeholder perspectives (2) |
11 | Treatment of illiquidity (1) |
12 | Treatment of illiquidity (2) |
13 | Treatment of illiquidity (3) |
14 | Stress testing methodologies |
15 | Important Information |
NAVIGATION LINKS
Contents | Next | Library