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Tail Value At Risk Or Tail Conditional Expectation

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

Definition

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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