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TAIL RISK · VALUE AT RISK · EXPECTED SHORTFALL · CORRELATIONS GOING TO ONE · TIMED · SCORED TAIL RISK · VALUE AT RISK · EXPECTED SHORTFALL · CORRELATIONS GOING TO ONE · TIMED · SCORED
000
LAB 08 · RISK
Risk practice: VaR, expected shortfall and tail risk
Price VaR and expected shortfall, then stress a fat-tailed crash - the risk analyst screen, scored by skill.
TICKETS
0ACCURACY
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GAME
SKILL
RNDS
YOUR HI
LAST 8
01
Tail Risk Stress TesterPrice the risk, watch correlations converge to 1, then measure past VaR
VAR &
EXPECTED SHORTFALL
EXPECTED SHORTFALL
10
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What the Risk Lab games train
Tail Risk Stress Tester
Run a $100M multi-asset book through a correlation breakdown, then compute the Expected Shortfall that VaR leaves out. Read the Tail Risk Stress Tester guide.