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tailRisk Implemented Risk Measures

Implemented Risk Measures

October 02, 2025 (Last Modified: October 02, 2025)
User Documentation
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Implemented Risk Measures

TailRisk implements a range of commonly (or not so commonly) used risk measures:

  • Quantile
  • VaR
  • Expected Shortfall
  • Exceedance Probability
  • Mean Excess
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tailRisk Random Variable Representations

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