Risk – Page 27 – Fincyclopedia

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VaR Subadditivity

As a risk metric, value at risk (VaR) does lack subadditivity, i.e., it is not subadditive (does not support the...

Stressed Value at Risk

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

Stressed VaR

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

SVaR

It stands for symmetric value at risk (symmetric VaR); a measure of value at risk (VaR) that captures the risk...

Symmetric VaR

A measure of value at risk (VaR) that captures the risk of loss at the average of the expected return...

Symmetric Value at Risk

A measure of value at risk (VaR) that captures the risk of loss at the average of the expected return...

Tail Value at Risk

A risk measure (value at risk, VaR) that quantifies the expected value of the loss arising on a portfolio/ a...

TVaR

It stands for tail value at risk (tail VaR); a risk measure (value at risk, VaR) that quantifies the expected...

Tail VaR

A risk measure (value at risk, VaR) that quantifies the expected value of the loss arising on a portfolio/ a...

Multivariate CVaR

It stands for multivariate conditional value at risk (multivariate conditional VaR); A conditional value at risk (conditional VaR) that has...