A method of calculating value-at-risk (VaR) that is based on historical data in order to assess the impact of market...

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

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...

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

A measure of risk (value at risk or VaR) that, for of a portfolio/ a fund, is defined by a...

A measure of risk (value at risk or VaR) that, for of a portfolio/ a fund, is defined by a...

A measure of risk (value at risk, VaR) that captures the smallest level of underperformance (in a portfolio, or in...