A quantitative measure that is used to estimate the credit risk of a credit portfolio (e.g., a bond portfolio). It...

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

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

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...

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

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

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

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