Calculating Conditional Tail Expectation (CVaR) in @RISK

Overview:
@RISK can compute statistics for part of a distribution using RiskTruncate() (v5.0) or RiskTruncateP() (v5.5+).

This allows calculation of Conditional Tail Expectation (CVaR).

Examples:

• Left 5% tail (lowest 5% of values):

  • @RISK 5.5+: =RiskMean(C11, RiskTruncateP( , 0.05))

  • @RISK 5.0: =RiskMean(C11, RiskTruncate( , RiskPtoX(C11,0.05)))

• Right 5% tail (highest 5% of values):

  • @RISK 5.5+: =RiskMean(C11, RiskTruncateP(0.95, ))

  • @RISK 5.0: =RiskMean(C11, RiskTruncate(RiskPtoX(C11,0.95), ))

Notes:

• Results are approximate for theoretical distributions.

• See Calculating Statistics on a Subset of a Distribution in @RISK Help for details.