This paper studies the link between two popular measures of risk, that are the Value-at-Risk (VaR) and the Tail-VaR (TVaR). We study how the TVaR and VaR are related through their risk levels and characterize the underlying distributions under which this relationship is linear. A large portion...

This paper studies the link between two popular measures of risk, that are the Value-at-Risk (VaR) and the Tail-VaR (TVaR). We study how the TVaR and VaR are related through their risk levels and characterize the underlying distributions under which this relationship is linear. A large portion...

Dai and Singleton (2000) introduced a typology of affine diffusion models when the domain of admissible values of the factors is an intersection of half planes and under some additional constraints on the parameters. This condition on the domain and the additional sufficient constraints are...