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

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

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

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

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...

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

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...