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Risk Management




Symmetric Value at Risk


A measure of value at risk (VaR) that captures the risk of loss at the average of the expected return on a portfolio/ a fund and typically following a uniform symmetric distribution. In other words, the variables have the same lag length: every variable (VaR coefficient) is plugged in (in every equation or formula of calculation) with the same lag specifications.

Employing the same lag specification for each coefficient comes at the expense of freedom degrees, resulting in a situation where statistically insignificant coefficients are made part of the calculation methodology.



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Risk management is a collection of tools, techniques and regimes that are used by businesses to deal with uncertainty. This involves planning and ...
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