Risk measures [20]

Go to: Summary | Previous | Next   
Bullet points include: Tracking error (volatility of return): Drawdown. Expected shortfall. Expected Policyholder Deficit (EPD). Given an initial level of capital W, is (where Ix<W = 1 if x<W and 0 otherwise). Expected Worst Outcome out of M (non-overlapping) realisations (where x(1) is lowest value of x1, ..., xM), i.e. expected value of worst outcome (could also have expected value of 2nd worst outcome etc.)

Contents | Prev | Next | ERM Lecture Series

Desktop view | Switch to Mobile