Quantitative Financial Risk Management - Galariotis Emilios

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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.

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      The views expressed herein are those of the author and do not necessarily represent a position taken by Pricewaterhouse Cooper Advisory LLP.

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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.

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The views expressed herein are those of the author and do not necessarily represent a position taken by Pricewaterhouse Cooper Advisory LLP.

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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.

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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.

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