I'm stuck with this translation.
I know that Value at risk (VaR) is Valor en riesgo. But how do you translate Tail Value at Risk?
Some definitions taken from Loss Models (Klugman S., et al.):
Let X denote a random variable. The Value-at-risk of X at the 100p% level is the p% percentile (or quantile) of the distribution of X
The Tail-Value-at-Risk of X is the expected loss given that the loss exceeds the 100p% percentile (or quantile) of the distribution of X
The only thing I can think of is valor medio de riesgo en exceso. Is this correct?