Filter by Categories
Accounting
Banking

Risk Management




Conditional VaR


The value at risk (VaR) that, as a risk measure, quantifies the tail risk that an investment portfolio may be exposed to. Differently put, this risk measure is conditional in the sense that it quantifies the scale of expected losses (on a portfolio) once the value at risk (VaR) break point has been breached.

Conditional value-at-risk is an extension of value-at-risk that measures the amount of the average loss over a given period of unlikely scenarios beyond a specific confidence level. For example, a one-day 99% conditional VaR (CVaR) of $5 million implies that the expected loss of the worst 1% scenarios over the course of one-day is $5 million.

It is also referred to as average value at risk (average VaR) or expected shortfall.



ABC
Risk management is a collection of tools, techniques and regimes that are used by businesses to deal with uncertainty. This involves planning and ...
Watch on Youtube
Remember to read our privacy policy before submission of your comments or any suggestions. Please keep comments relevant, respectful, and as much concise as possible. By commenting you are required to follow our community guidelines.

Comments


    Leave Your Comment

    Your email address will not be published.*