1. 

   floydeon Member

   Can somone please explain the mathematical relationship between TailVar and Expected Shortfall. i.e. a formula would explain things better.

    

   floydeon, Mar 5, 2008

   #1
2. 

   jensen Member

   Hi floydeon
   
   My understanding is that the two measures are the same. tVaR = Expected Shortfall, with the benchmark being the x %-tile VaR value.
   
   Can anyone else confirm?

    

   jensen, Mar 6, 2008

   #2

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