The conditional tail expectation in risk analysis describes the expected amount of risk that can be experienced given that a potential risk exceeds a threshold value, and provides an important measure ...

In this paper, we introduce a new risk measure, the so-called conditional tail moment. It is defined as the moment of order a ≥ 0 of the loss distribution above the upper α-quantile where α ∈ (0,1).

James Chen, CMT is an expert trader, investment adviser, and global market strategist. Gordon Scott has been an active investor and technical analyst or 20+ years. He is a Chartered Market Technician ...