Correct me if I’m wrong but I thought VaR is minimum expected loss 5% VaR would mean that 5% of the time you lose at least $x amount. Thats why you use CVaR - to get the weighted average loss below the VaR amount.
4 months ago | 0
Correct me if I’m wrong but I thought VaR is minimum expected loss 5% VaR would mean that 5% of the time you lose at least $x amount. Thats why you use CVaR - to get the weighted average loss below the VaR amount.
4 months ago | 0
Bionic Turtle
Have you mastered VaR? This is a foundational concept covered on the FRM® exam.
So, What does VaR measure?
Let us know your answer below!
4 months ago | [YT] | 7