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This presentation explores the difference between Value-at-Risk (VaR) and Tail Value-at-Risk (TVaR), the underlying mindsets for which each is most applicable and implications of this analysis.

Slides

1	VaR versus TVaR Mindsets
2	VaR versus TVaR Mindsets
3	Value-at-Risk
4	VaR versus Tail VaR (TVaR)
5	Mathematical definitions
6	Coherence
7	What are the underlying mindsets?
8	Which takes into account loss in the event of default?
9	Different stakeholder perspectives (1)
10	Different stakeholder perspectives (2)
11	Treatment of illiquidity (1)
12	Treatment of illiquidity (2)
13	Treatment of illiquidity (3)
14	Stress testing methodologies
15	Important Information

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