value at risk should not be confused with general risk measure with the same name, which is also known as expected tail loss or average value at risk.
2
The views expressed herein are those of the author and do not necessarily represent a position taken by Pricewaterhouse Cooper Advisory LLP.
1
Conditional value at risk should not be confused with general risk measure with the same name, which is also known as expected tail loss or average value at risk.
2
The views expressed herein are those of the author and do not necessarily represent a position taken by Pricewaterhouse Cooper Advisory LLP.
3
Typical sample dates are: daily for the first two weeks, once a week out to a quarter, once a month out to a year, once a quarter out to 10 years, and once a year up to 50 years.
4
See Araten and Jacobs 2001; Araten, Jacobs, and Varshney 2004; Araten, Jacobs, Varshney, and Pellegrino 2004; Carey and Gordy 2004; Carey and Hrycay 2001; Frye and Jacobs 2012; Jacobs 2010a, b; Jacobs and Kiefer 2010; and Jacobs, Karagozoglu, and Layish 2012.