varying tails and exponential and faster-than-exponential tail decay for the return distribution. We compare it to the CVaR …We consider the sensitivity of conditional value-at-risk (CVaR) with respect to the tail index assuming regularly …

varying tails and exponential and faster-than-exponential tail decay for the return distribution. We compare it to the CVaR …We consider the sensitivity of conditional value-at-risk (CVaR) with respect to the tail index assuming regularly …

) sensitivity with respect to tail thickness and scale of the portfolio return distribution in the case of regularly varying tails …