1. 

   Harashima Senju Ton up Member

   From the course notes tail var is defined as \(\mathbb{E}[max(Var - X,0)]\)
   
   From the calculations they seem to use \(\mathbb{E}[max(-Var - X,0)]\)
   
   Which is the correct form

    

   Harashima Senju, Aug 26, 2017

   #1
2. 

   Harashima Senju Ton up Member

   Tail VaR at \(p\) is defined as \(\mathbb{E}[max(t-X,0)]\) where \(P(X < t) = p\)

    

   Harashima Senju, Aug 28, 2017

   #2

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