Value at risk (VaR) is a measure of the risk of loss of investment/Capital. It estimates how much a set of investments might lose (with a given probability)...

mathematics, tail value at risk (TVaR), also known as tail conditional expectation (TCE) or conditional tail expectation (CTE), is a risk measure associated...

The entropic value at risk (EVaR) is a coherent risk measure introduced by Ahmadi-Javid, which is an upper bound for the value at risk (VaR) and the...

prices. More recent risk measures include value at risk. Because investors are generally risk averse, investments with greater inherent risk must promise higher...

called conditional value at risk (CVaR), average value at risk (AVaR), expected tail loss (ETL), and superquantile. ES estimates the risk of an investment...

Financial risk management is the practice of protecting economic value in a firm by managing exposure to financial risk - principally operational risk, credit...

outcome of the latter is equal to or higher in monetary value than the more certain outcome. Risk aversion explains the inclination to agree to a situation...

that value at risk is not a coherent risk measure as it does not respect the sub-additivity property. An immediate consequence is that value at risk might...

is also known as a Tail event. Risk measure Tail risk parity Taleb distribution Value at risk Hayes, Adam. "Tail Risk in Investments". Investopedia. Retrieved...

market risk, liquidity risk, credit risk, business risk and investment risk. The four standard market risk factors are equity risk, interest rate risk, currency...

quality. Intangible risk management allows risk management to create immediate value from the identification and reduction of risks that reduce productivity...

simulation as for Value at Risk. The benefits of CFaR and EaR for corporate risk management, bloomberg.com Interest rate risk – earnings at risk, abrigo.com...

covering adverse value changes of a given position. Shape risk Holding period risk Basis risk The capital requirement for market risk is addressed under...

expected returns, yet paradoxically perceived to be of low investment value) Value at risk Zenios, Ziemba (2006). Handbook of Asset and Liability Management...

market risk. This can be accounted for by: Widening bid–ask spread Making explicit liquidity reserves Lengthening holding period for value at risk (VaR)...

discretionary spending, or address deficits. However, such proposals often run the risk of being regressive, and sparking backlash among the public due to an increased...

Coherent risk measure Conditional value-at-risk Distortion risk measure Dynamic risk measure Entropic value at risk Expected shortfall Managerial risk accounting...

Foreign exchange risk (also known as FX risk, exchange rate risk or currency risk) is a financial risk that exists when a financial transaction is denominated...

Deviation risk measure Distortion risk measure Spectral risk measure Value at risk Expected shortfall Entropic value at risk Scenario analysis Short (finance)...

exposure SA-CCR The Standardised Approach to Counterparty Credit Risk VAR Value at risk Credit (finance) Credit spread curve Criticism of credit scoring...

Value at risk {\displaystyle {\mbox{RAROC}}={{\mbox{Expected return}} \over {\mbox{Economic capital}}}={{\mbox{Expected return}} \over {\mbox{Value at...

In finance, risk-adjusted net present value (rNPV) or expected net existing value (eNPV) is a method to value risky future cash flows. rNPV is the standard...

{\displaystyle D_{\$}} is commonly used for value-at-risk (VaR) calculation. To illustrate applications to portfolio risk management, consider a portfolio of...

like a precious metal or financial capital. The point of any store of value is risk management due to a stable demand for the underlying asset. Monetary...

portfolio's value. The market model must be sufficiently specified so that the portfolio can be revalued using information from the market model. The risk measurements...

volatility. Financial risk management Implied volatility Volatility smile IVX Market risk Model risk § Uncertainty on volatility Value at risk Volatility beta...

risk is to explicitly correct the cash flows for the risk elements using risk-adjusted net present value (rNPV) or a similar method, then discount at...

distribution, so is similar to Value at Risk (VaR). However, TaR measures risk amount as time(time until an adverse event) rather than value (loss amount). Mathematical...

Information technology risk, IT risk, IT-related risk, or cyber risk is any risk relating to information technology. While information has long been appreciated...

70% of the true values). Other optimization strategies that focus on minimizing tail-risk (e.g., value at risk, conditional value at risk) in investment...