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Gaussian VaR

A type or method of value at risk (VaR) that assumes the data (used in calculation) follows a normal or...

    Gaussian Value at Risk

    A type or method of value at risk (VaR) that assumes the data (used in calculation) follows a normal or...

      GVaR

      It stands for generalized value at risk (generalized VaR); a type or method of value at risk (VaR) that subjects...

        Generalized Value at Risk

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

          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...

                    VaR Subadditivity

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