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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
1VaR versus TVaR Mindsets
2VaR versus TVaR Mindsets
3Value-at-Risk
4VaR versus Tail VaR (TVaR)
5Mathematical definitions
6Coherence
7What are the underlying mindsets?
8Which takes into account loss in the event of default?
9Different stakeholder perspectives (1)
10Different stakeholder perspectives (2)
11Treatment of illiquidity (1)
12Treatment of illiquidity (2)
13Treatment of illiquidity (3)
14Stress testing methodologies
15Important Information



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