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Results tagged with risk
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user 92
The possibility that a negative event (such as a loss) will happen.
14
votes
What is the difference between the methods for calculating VaR?
model is usually calibrated to model risk factors over large period of times when you are only trying to get estimates over the next day so the underlying measures have different purposes. … And second as you may know in theory the difference between Historical and Risk Neutral measures are hidden "in the drift" of the risk factor dynamics (well this is not true unless complete market is assumed …
- 4,613
8
votes
Accepted
What approaches are there for stress testing a portfolio?
Anyway,scenario losses can be quite an effective tool in risk management because it shows in a simple way where is your risk standing but it shouldn't be viewed as a standalone indicator. … happens during crisis) as well as volatility of risk factors. …
- 4,613
4
votes
Which lags or percentiles should be run in a batch when calculating Value-at-Risk?
Usually when it is for (market) risk management purposes it is quite standard to have 1 day horizon with (allegedly ;-) ) 99% confidence level. …
- 4,613