Couco, Domenico; He, Hua; Issaenko, Sergei - 2001
,Delbaen,EberandHeathtoproposetheuseoftheTailConditional
expectation (TCE), defined as the conditional expectation of losses above the VaR, as an
1
See “The Risk Business”, The Economist …, October 17, 1998.
2
As noted by Jorion (2001, p. 379), “At the business area or unit level, VaR [...] can be used to set … as a guide
to set position limits for business units.”As it will become clear in the following analysis, the risk limits …