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Which risk measure is "better"?

Although VaR and CVaR are similar (and only one letter apart!), it's generally the case that CVaR is the preferred risk measure for risk management. One reason is that it is affected by the tail of the loss distribution, while VaR is a static value.

Question: How does CVaR incorporate information from the tail of the loss distribution?

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Quantitative Risk Management in Python

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