Gourieroux, Christian; Liu, Wei; Liu, Gourieroux - In: Journal of Financial Econometrics 10 (2008) 2, pp. 233-264
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...