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Value-at-Risk
Value at risk (VaR) is a measure of the risk of loss for investments. It estimates how much a set of investments might lose (with a given probability), given normal market conditions, in a set time period such as a day. VaR is typically used by firms and regulators in the financial industry to gauge the amount of assets needed to cover possible losses. For a given portfolio, time horizon, and probability ''p'', the ''p'' VaR can be defined informally as the maximum possible loss during that time after excluding all worse outcomes whose combined probability is at most ''p''. This assumes mark-to-market pricing, and no trading in the portfolio. For example, if a portfolio of stocks has a one-day 95% VaR of $1 million, that means that there is a 0.05 probability that the portfolio will fall in value by more than $1 million over a one-day period if there is no trading. Informally, a loss of $1 million or more on this portfolio is expected on 1 day out of 20 days (because of 5% proba ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Expected Shortfall
Expected 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 "expected shortfall at q% level" is the expected return on the portfolio in the worst q\% of cases. ES is an alternative to value at risk that is more sensitive to the shape of the tail of the loss distribution. Expected shortfall is also called conditional value at risk (CVaR), average value at risk (AVaR), expected tail loss (ETL), and superquantile. ES estimates the risk of an investment in a conservative way, focusing on the less profitable outcomes. For high values of q it ignores the most profitable but unlikely possibilities, while for small values of q it focuses on the worst losses. On the other hand, unlike the discounted maximum loss, even for lower values of q the expected shortfall does not consider only the single most catastrophic outcome. A value of q often used in practice is 5%. Expected shortfall is ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Tail Conditional Expectation
Tail value at risk (TVaR), also known as tail conditional expectation (TCE) or conditional tail expectation (CTE), is a risk measure associated with the more general value at risk. It quantifies the expected value of the loss given that an event outside a given probability level has occurred. Background There are a number of related, but subtly different, formulations for TVaR in the literature. A common case in literature is to define TVaR and average value at risk as the same measure. Under some formulations, it is only equivalent to expected shortfall when the underlying distribution function is continuous at \operatorname_(X), the value at risk of level \alpha. Under some other settings, TVaR is the conditional expectation of loss above a given value, whereas the expected shortfall is the product of this value with the probability of it occurring. The former definition may not be a coherent risk measure in general, however it is coherent if the underlying distribution is ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
VaR Diagram
Var or VAR may refer to: Places * Var (department), a department of France * Var (river), France * Vār, Iran, village in West Azerbaijan Province, Iran * Var, Iran (other), other places in Iran * Vár, a village in Obreja commune, Caraș-Severin County, Romania * Var, a village in Jibou town, Sălaj County, Romania * Var (Olt), a river in Harghita County, Romania * VAR, the IATA airport code for Varna Airport, Bulgaria Mythology, arts and entertainment * Vár, a goddess in Norse mythology * Var or vara, an enclosure built by Jamshid (Yima) in Zoroastrian mythology * Var (poetry), a type of Punjabi poem * ''Vår jul'', a Swedish Christmas album from 2010 * ''Var the Stick'', part of the Battle Circle trilogy by Piers Anthony Science and technology * , a directory on Unix-like computer systems, see Filesystem Hierarchy Standard * , an HTML tag * Vacuum arc remelting (VAR), a process for production of steel and special alloys * Value-added reseller (VAR), an ec ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Constructive Proof
In mathematics, a constructive proof is a method of proof that demonstrates the existence of a mathematical object by creating or providing a method for creating the object. This is in contrast to a non-constructive proof (also known as an existence proof or ''pure existence theorem''), which proves the existence of a particular kind of object without providing an example. For avoiding confusion with the stronger concept that follows, such a constructive proof is sometimes called an effective proof. A constructive proof may also refer to the stronger concept of a proof that is valid in constructive mathematics. Constructivism is a mathematical philosophy that rejects all proof methods that involve the existence of objects that are not explicitly built. This excludes, in particular, the use of the law of the excluded middle, the axiom of infinity, and the axiom of choice, and induces a different meaning for some terminology (for example, the term "or" has a stronger meaning in const ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Quantile
In statistics and probability, quantiles are cut points dividing the range of a probability distribution into continuous intervals with equal probabilities, or dividing the observations in a sample in the same way. There is one fewer quantile than the number of groups created. Common quantiles have special names, such as ''quartiles'' (four groups), ''deciles'' (ten groups), and ''percentiles'' (100 groups). The groups created are termed halves, thirds, quarters, etc., though sometimes the terms for the quantile are used for the groups created, rather than for the cut points. -quantiles are values that partition a finite set of values into subsets of (nearly) equal sizes. There are partitions of the -quantiles, one for each integer satisfying . In some cases the value of a quantile may not be uniquely determined, as can be the case for the median (2-quantile) of a uniform probability distribution on a set of even size. Quantiles can also be applied to continuous distr ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Financial Governance
Finance is the study and discipline of money, currency and capital assets. It is related to, but not synonymous with economics, the study of production, distribution, and consumption of money, assets, goods and services (the discipline of financial economics bridges the two). Finance activities take place in financial systems at various scopes, thus the field can be roughly divided into personal, corporate, and public finance. In a financial system, assets are bought, sold, or traded as financial instruments, such as currencies, loans, bonds, shares, stocks, options, futures, etc. Assets can also be banked, invested, and insured to maximize value and minimize loss. In practice, risks are always present in any financial action and entities. A broad range of subfields within finance exist due to its wide scope. Asset, money, risk and investment management aim to maximize value and minimize volatility. Financial analysis is viability, stability, and profitabil ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Return (finance)
In finance, return is a profit on an investment. It comprises any change in value of the investment, and/or cash flows (or securities, or other investments) which the investor receives from that investment, such as interest payments, coupons, cash dividends, stock dividends or the payoff from a derivative or structured product. It may be measured either in absolute terms (e.g., dollars) or as a percentage of the amount invested. The latter is also called the holding period return. A loss instead of a profit is described as a '' negative return'', assuming the amount invested is greater than zero. To compare returns over time periods of different lengths on an equal basis, it is useful to convert each return into a return over a period of time of a standard length. The result of the conversion is called the rate of return. Typically, the period of time is a year, in which case the rate of return is also called the annualized return, and the conversion process, described be ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Trader (finance)
A trader is a person, firm, or entity in finance who buys and sells financial instruments, such as forex, cryptocurrencies, stocks, bonds, commodities, derivatives, and mutual funds in the capacity of agent, hedger, arbitrageur, or speculator. Duties and types Traders buy and sell financial instruments traded in the stock markets, derivatives markets and commodity markets, comprising the stock exchanges, derivatives exchanges, and the commodities exchanges. Several categories and designations for diverse kinds of traders are found in finance, including: * Bond trader * Floor trader *Hedge fund trader * High-frequency trader *Market maker * Pattern day trader * Principal trader *Proprietary trader * Rogue trader * Scalper * Stock trader Income According to the Wall Street Journal in 2004, a managing director convertible bond trader was earning between $700,000 and $900,000 on average. See also * Commodities exchange *Commodity market *Derivatives market * List of co ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Bayesian Probability
Bayesian probability is an interpretation of the concept of probability, in which, instead of frequency or propensity of some phenomenon, probability is interpreted as reasonable expectation representing a state of knowledge or as quantification of a personal belief. The Bayesian interpretation of probability can be seen as an extension of propositional logic that enables reasoning with hypotheses; that is, with propositions whose truth or falsity is unknown. In the Bayesian view, a probability is assigned to a hypothesis, whereas under frequentist inference, a hypothesis is typically tested without being assigned a probability. Bayesian probability belongs to the category of evidential probabilities; to evaluate the probability of a hypothesis, the Bayesian probabilist specifies a prior probability. This, in turn, is then updated to a posterior probability in the light of new, relevant data (evidence). The Bayesian interpretation provides a standard set of procedures and formu ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Statistical Independence
Independence is a fundamental notion in probability theory, as in statistics and the theory of stochastic processes. Two events are independent, statistically independent, or stochastically independent if, informally speaking, the occurrence of one does not affect the probability of occurrence of the other or, equivalently, does not affect the odds. Similarly, two random variables are independent if the realization of one does not affect the probability distribution of the other. When dealing with collections of more than two events, two notions of independence need to be distinguished. The events are called pairwise independent if any two events in the collection are independent of each other, while mutual independence (or collective independence) of events means, informally speaking, that each event is independent of any combination of other events in the collection. A similar notion exists for collections of random variables. Mutual independence implies pairwise independenc ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Frequency Probability
Frequentist probability or frequentism is an interpretation of probability; it defines an event's probability as the limit of its relative frequency in many trials (the long-run probability). Probabilities can be found (in principle) by a repeatable objective process (and are thus ideally devoid of opinion). The continued use of frequentist methods in scientific inference, however, has been called into question. The development of the frequentist account was motivated by the problems and paradoxes of the previously dominant viewpoint, the classical interpretation. In the classical interpretation, probability was defined in terms of the principle of indifference, based on the natural symmetry of a problem, so, ''e.g.'' the probabilities of dice games arise from the natural symmetric 6-sidedness of the cube. This classical interpretation stumbled at any statistical problem that has no natural symmetry for reasoning. Definition In the frequentist interpretation, probabilities ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Rogue Trader
A rogue trader is person who makes financial trades in an unauthorised manner. Rogue trader may also refer to: * ''Rogue Trader'' (book), the autobiography of (and later a movie about) Nick Leeson, the man who caused the collapse of Barings Bank * ''Rogue Trader'' (film), the 1999 film about Nick Leeson directed by James Dearden *'' Warhammer 40,000: Rogue Trader'', the first edition of the ''Warhammer 40,000'' franchise ** ''Rogue Trader'' (role-playing game), the second role-playing game in the Warhammer 40,000 roleplay sub-franchise See also * Rogue Traders Rogue Traders is an Australian electronic rock band formed in Melbourne, Victoria in 2002 by mainstay James Ash on keyboards. In 1989, Ash met fellow original member Steve Davis in London while both were working as DJs. Before forming Rogue Tr ..., an Australian electronic rock group * ''Rogue Traders'' (TV programme), a BBC consumer affairs television programme {{Disambiguation ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
