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Tail Value At Risk Or Tail Conditional Expectation

Tail Value at Risk (Tail VaR) or Tail Conditional Expectation (TCE)

Definition

Tail Value at Risk (Tail VaR) or Tail Conditional Expectation (TCE) — an economic cost of ruin (ECOR)-like measure in the sense that both the probability and the cost of "tail events" are considered; the calculation differs from ECOR in such a way that it has a desirable statistical property (i.e., coherence).
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