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The Skinny on Quantitative Finance

Conditional Value at Risk

The Skinny on Quantitative Finance

Options involve risk and are not suitable for all investors. Please read Characteristics and Risks of Standardized Options before deciding to invest in options.

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.

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