Measure losses inside the tail as well as the threshold at its edge.

Family Office Private Wealth Journal · Editorial research desk · 2 November 2026

Companion to Conditional value-at-risk for general loss distributions by R.Tyrrell Rockafellar; Stanislav Uryasev.

Decision in practice

Two portfolios have the same loss threshold at a chosen percentile but very different losses beyond it.

Committee assignment

Compare the average loss in the tail under joint market, leverage and liquidity shocks. Show which assumptions define the tail sample.

Record and decision rule

Report tail loss with scenario names and limitations. Do not approve a risk limit based on a percentile that hides unacceptable losses beyond it.

Illustrative application by the editorial desk. The source authors did not evaluate or endorse this procedure.