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...

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

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

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...

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

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...

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...