Risk measure information

In financial mathematics, a risk measure is used to determine the amount of an asset or set of assets (traditionally currency) to be kept in reserve. The...

number of ways that risk can be defined; to clarify the concept theoreticians have described a number of properties that a risk measure might or might not...

mathematical modeling of financial markets), the entropic risk measure is a risk measure which depends on the risk aversion of the user through the exponential utility...

(business) Peltzman effect Risk-neutral measure Sampling risk Systemic risk "Risk". Cambridge Dictionary. "Glossary" (PDF). Society for Risk Analysis. Retrieved...

risk measure is a random variable of the financial risk (particularly the downside risk) as if measured at some point in the future. A risk measure can...

Together with risk difference and odds ratio, relative risk measures the association between the exposure and the outcome. Relative risk is used in the...

Value at risk (VaR) is a measure of the risk of loss of investment/Capital. It estimates how much a set of investments might lose (with a given probability)...

derivative of u ( c ) {\displaystyle u(c)} . One such measure is the Arrow–Pratt measure of absolute risk aversion (ARA), after the economists Kenneth Arrow...

A Spectral risk measure is a risk measure given as a weighted average of outcomes where bad outcomes are, typically, included with larger weights. A spectral...

In financial mathematics and economics, a distortion risk measure is a type of risk measure which is related to the cumulative distribution function of...

deviation risk measure is a function to quantify financial risk (and not necessarily downside risk) in a different method than a general risk measure. Deviation...

reinvested Risk measure Distortion risk measure Tail conditional expectation Value at risk Convex risk measure Entropic risk measure Coherent risk measure Discounted...

In the context of risk measurement, a risk metric is the concept quantified by a risk measure. When choosing a risk metric, an agent is picking an aspect...

market risk, liquidity risk, credit risk, business risk and investment risk. The four standard market risk factors are equity risk, interest rate risk, currency...

Sharpe measure, and the reward-to-variability ratio) measures the performance of an investment such as a security or portfolio compared to a risk-free asset...

is also known as a Tail event. Risk measure Tail risk parity Taleb distribution Value at risk Hayes, Adam. "Tail Risk in Investments". Investopedia. Retrieved...

difference. Risk measures typically quantify the downside risk, whereas the standard deviation (an example of a deviation risk measure) measures both the...

shortfall (ES) is a risk measure—a concept used in the field of financial risk measurement to evaluate the market risk or credit risk of a portfolio. The...

optimization, the concept of risk measure is used to quantify the risk involved in a random outcome or risk position. Many risk measures have hitherto been proposed...

for a daily report measuring and explaining the risks of his firm. Nearly four years later in 1992, J.P. Morgan launched the RiskMetrics methodology to...

therefore not a coherent risk measure. As a result, other suggestions for measuring market risk is conditional value-at-risk (CVaR) that is coherent for...

tail value at risk (TVaR), also known as tail conditional expectation (TCE) or conditional tail expectation (CTE), is a risk measure associated with...

return Risk Financial risk Risk management Financial risk management Uncompensated risk Risk measure Coherent risk measure Deviation risk measure Distortion...

adequate measure of the risk aversion of a utility function. Instead, it needs to be normalized. This leads to the definition of the Arrow–Pratt measure of...

effects, and the risk of its occurrence. It takes an "operational behaviour" approach to defining systemic risk of failure as: "A measure of the overall...

existential risks, formulate potential mitigation measures and either advocate for or implement these measures. The term global catastrophic risk "lacks a...

should they occur, is a common way to assess and measure IT risks. Alternative methods of measuring IT risk typically involve assessing other contributory...

Time at Risk (TaR) is a time-based risk measure designed for corporate finance practice. TaR represents certain quantile for a given probability distribution...