The Skinny on Quantitative Finance - November 20, 2020 - Conditional Value at Risk


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Nov 20 2020 19 mins   8
Tail events are generally difficult to model because of how infrequently they occur, and this creates challenges when attempting to quantify tail risk/potential tail losses. Today we’ll be talking about two metrics commonly used to set some kind of expectation around these worst-case scenario events: Value at Risk (VaR) and Conditional Value at Risk (CVaR). Join Tom, Tony and Julia as they discuss these metrics, some examples of how they can be applied, and their shortcomings.