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Generalized VaR

A type or method of value at risk (VaR) that subjects the standard value at risk (for optimization of a...

    Historical Simulation

    A method of calculating value-at-risk (VaR) that is based on historical data in order to assess the impact of market...

      HVaR

      It stands for historical value at risk (historical VaR); a method of calculating value-at-risk (VaR) that is based on historical...

        Historical Value at Risk

        A method of calculating value-at-risk (VaR) that is based on historical data in order to assess the impact of market...

          Historical VaR

          A method of calculating value-at-risk (VaR) that is based on historical data in order to assess the impact of market...

            Risk-Off

            A type or situation of risk sentiment where investors seek the safety of riskless assets and investments. In a risk-off...

              Stress VaR

              A measure of value at risk (VaR) that aims to estimate the potential loss that could arise from a 12-month...

                Stress Value at Risk

                A measure of value at risk (VaR) that aims to estimate the potential loss that could arise from a 12-month...

                  Subadditive Risk Measure

                  A risk measure (e.g., for a portfolio) which cannot exceed the sum of the measure for the components of the...

                    Subadditivity

                    A condition that entails that diversification, on which modern portfolio theory (MPT) is premised, will normally hold since a subadditive...