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Average Value at Risk

The value at risk (VaR), as a special case of spectral risk measures, that accounts for the losses in the...

    ES

    It stands for expected shortfall; a risk measure that quantifies the tail risk that an investment portfolio may be exposed...

      Expected Shortfall

      A risk measure that quantifies the tail risk that an investment portfolio may be exposed to. This risk measure is...

        Conditional Value at Risk

        The value at risk (VaR) that, as a risk measure, quantifies the tail risk that an investment portfolio may be...

          Conditional VaR

          The value at risk (VaR) that, as a risk measure, quantifies the tail risk that an investment portfolio may be...

            Modified VaR

            A measure of value at risk (VaR) that is modified or expanded to correct for skewness and flat tails in...

              Modified Value at Risk

              A measure of value at risk (VaR) that is modified or expanded to correct for skewness and flat tails in...

                Component VaR

                The value at risk (VaR) that is attributed to a given component of a portfolio. For a portfolio where VaR...

                  Component Value at Risk

                  The value at risk (VaR) that is attributed to a given component of a portfolio. For a portfolio where VaR...

                    Credit Value at Risk

                    A quantitative measure that is used to estimate the credit risk of a credit portfolio (e.g., a bond portfolio). It...