/


Risk measures [7]

Go to: Summary | Previous | Next   
Bullet points include: The Value-at-Risk, VaR alpha(X), of the portfolio is the outcome (loss), X, that will be exceeded on a fraction alpha of occasions. Requires time-scale (T) as well as confidence level (alpha). Where the support of the distribution is continuous then Value-at-Risk with confidence level alpha is: Sometimes alpha and 1-alpha interchanged, or losses positive not negative etc.

NAVIGATION LINKS
Contents | Prev | Next | ERM Lecture Series


Desktop view | Switch to Mobile