VaR vs TVaR

VaR versus TVar Mindsets [5]

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Bullet points include: Note difference between p(x) and x.p(x) in integrals. VaR not a coherent risk measure, TVaR is coherent; VaR maybe more shareholder-focused, TVaR maybe more customer/regulator focused (see Appendix A)

Bullet points include: Note difference between p(x) and x.p(x) in integrals. VaR not a coherent risk measure, TVaR is coherent; VaR maybe more shareholder-focused, TVaR maybe more customer/regulator focused (see Appendix A)

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