November 2013 Vol. 18 No. 11
Tail risk of Asian markets
By Lixia Loh and Stoyan Stoyanov*
Explaining the behaviour of portfolio losses
Value-at-risk (VaR) and conditional value-at-risk (CVaR) have become standard choices for tail risk or downside risk measures in finance; VaR provides a loss threshold exceeded with some small predefined probability, while CVaR measures the average loss beyond that threshold
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