A risk measure (e.g., for a portfolio) which cannot exceed the sum of the measure for the components of the...
A condition that entails that diversification, on which modern portfolio theory (MPT) is premised, will normally hold since a subadditive...
A measure of value at risk (VaR) that aims to estimate the potential loss that could arise from a 12-month...
A measure of value at risk (VaR) that aims to estimate the potential loss that could arise from a 12-month...
It stands for symmetric value at risk (symmetric VaR); a measure of value at risk (VaR) that captures the risk...
A measure of value at risk (VaR) that captures the risk of loss at the average of the expected return...
A measure of value at risk (VaR) that captures the risk of loss at the average of the expected return...
A risk management technique that is used to estimate how a company’s portfolio would have performed under some of the...
A threat or opportunity that is by nature not quantifiable or cannot be quantified using typical risk management tools and...