A type or method of value at risk (VaR) (specifically, a type of generalized VaR) that represents a combination of tail VaR (TVaR) for two different quantiles with VaR of one of the two quantiles. It belongs to the four-parameter (axiom) family of risk measures within a distinct class of distortion risk measures. The value of this risk measure sticks to the range between VaR and TVaR and fulfills four coherent axioms (a four-parameter function). Once a confidence level has been set, the value of this measure can belong to the range between VaR and TVaR, adequately reflecting the risk of mild-tailed distributed losses.
In specific financial contexts (e.g., insurance and financial markets), this measure of risk provides a more conservative basis than TVaR.
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