Conditional Value at Risk (CVaR)
Conditional Value at Risk (CVaR) is a risk metric frequently employed in quantitative finance and risk management to assess and quantify potential losses in a portfolio or investment under adverse…
Systematic risk, Unsystematic risk, and Systemic risk
Systematic risk, unsystematic risk, and systemic risk are essential concepts in quantitative finance and risk management. Here's a detailed explanation of each term in quantitative terminology: Systematic Risk: It is…
Full Revaluation Approach
Full revaluation serves as an effective risk assessment approach for quantifying the potential risk exposure associated with a portfolio of derivatives. This method involves the comprehensive reassessment of the entire…
Sensitivity Analysis
It is a method used to assess the impact of variations or changes in input parameters, assumptions, or factors on the outcomes of a risk assessment, financial model, or decision-making…
Monte Carlo Simulation Method to Calculate VaR
It is a computational technique extensively utilized in finance to assess the likelihood of various outcomes by running numerous random trials. In the context of financial risk management, it is…
Variance-Covariance Method to Calculate VaR
The Variance-Covariance approach is also known as the Delta-Normal approach. It assumes that the returns of the assets in the portfolio follow a normal distribution, which allows for a relatively…
Historical Simulation to Calculate VaR
Historical Simulation is a non-parametric method used to estimate Value at Risk (VaR). It involves sorting historical returns in ascending order and identifying the loss threshold corresponding to a desired…
VaR – The Risk Framework
Value At Risk (VaR) VaR – It is a measure of the amount that can be lost from the position, portfolio, desk, bank, etc. VaR is generally understood that quantifies…