VaR

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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...

CVaR

It stands for credit value at risk (VaR); a quantitative measure that is used to estimate the credit risk of...

Credit VaR

It stands for credit value at risk (VaR); a quantitative measure that is used to estimate the credit risk of...

Backtesting

A technique used to test how well (or badly) the Value at Risk (VaR) estimates would have performed using historical...

It stands for value-at-risk; the amount of loss that is expected, at some specific or pre-specified probability (confidence level), to...

Value at Risk

The amount of loss that is expected, at some specific or pre-specified probability (confidence level), to be reached or exceeded...

Market Risk

The risk (danger of financial loss) that arises from the possibility that the market may move or shift in an...

VaR

It stands for value at risk; a risk measure that summarizes in a single number the overall risk (value at...

Value at Risk

A risk measure that summarizes in a single number the overall risk (value at risk) in a portfolio of financial...

Back Testing

A reality check in calculating VaR. It involves testing how well the VaR estimates would have performed in the past....