翻訳と辞書 Words near each other ・ Tail of Spence ・ Tail of the Bank ・ Tail of the Moon ・ Tail of the Sun ・ Tail recursive parser ・ Tail risk ・ Tail risk parity ・ Tail rotor ・ Tail Schoonjans ・ Tail sequence ・ Tail Spin ・ Tail Sting ・ Tail suspension test ・ Tail Swallower and Dove ・ Tail to Nose ・ Tail value at risk ・ Tail vein ・ Tail warning radar ・ Tail-chase engagement ・ Tail-pulse generator ・ Tail-sitter ・ Tail-spot wrasse ・ Taila County ・ Tailafak River ・ Tailai County ・ Tailapa II ・ Tailapa III ・ Tailback ・ Tailboys ・ Tailchaser's Song Dictionary Lists mini英和辞書 mini和英辞書 Webster 1913 Latin-English FOLDOC Wikipedia English ウィキペディア

翻訳と辞書　辞書検索 [ 開発暫定版 ] スポンサード リンク Tail value at risk ： ウィキペディア英語版 Tail value at risk Tail value at risk (TVaR), also known as tail conditional expectation (TCE) or conditional tail expectation (CTE), is a risk measure associated with the more general value at risk. It quantifies the expected value of the loss given that an event outside a given probability level has occurred. ==Background== There are a number of related, but subtly different, formulations for TVaR in the literature. A common case in literature is to define TVaR and average value at risk as the same measure.〔 Under some formulations, it is only equivalent to expected shortfall when the underlying distribution function is continuous at $\backslash operatorname\_(X)$, the value at risk of level $\backslash alpha$.〔 Under some other settings, TVaR is the conditional expectation of loss above a given value, whereas the expected shortfall is the product of this value with the probability of it occurring.〔 The former definition may not be a coherent risk measure in general, however it is coherent if the underlying distribution is continuous.〔 The latter definition is a coherent risk measure.〔 TVaR accounts for the severity of the failure, not only the chance of failure. The TVaR is a measure of the expectation only in the tail of the distribution. 抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』 ■ウィキペディアで「Tail value at risk」の詳細全文を読む スポンサード リンク 翻訳と辞書 : 翻訳のためのインターネットリソース Copyright(C) kotoba.ne.jp 1997-2016. All Rights Reserved.