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

A measure of value at risk (VaR) that aims to estimate the potential loss that could arise from a 12-month...

A measure of value at risk (VaR) that aims to estimate the potential loss that could arise from a 12-month...

It stands for symmetric value at risk (symmetric VaR); a measure of value at risk (VaR) that captures the risk...

A measure of value at risk (VaR) that captures the risk of loss at the average of the expected return...

A measure of value at risk (VaR) that captures the risk of loss at the average of the expected return...

It stands for multivariate conditional value at risk (multivariate conditional VaR); A conditional value at risk (conditional VaR) that has...

A conditional value at risk (conditional VaR) that has more than a single random variable. It deals with several variables,...

It stands for Monte Carlo value at risk (Monte Carlo VaR); A measure of risk (value at risk or VaR)...

A measure of risk (value at risk or VaR) that assumes market-related factors follow certain stochastic processes (as defined under...