Tag: risk-measures
Concepts
- Beta Estimation Error
- Beta Shrinkage: Blume and Vasicek
- The Bias Statistic for Risk Model Testing
- Block Maxima and the GEV Distribution
- The Carhart Four-Factor Model
- Characteristic Portfolios
- Christoffersen's Conditional Coverage Test
- Component VaR
- Conditional and Time-Varying Betas
- Conditional Drawdown at Risk
- Cornish-Fisher VaR
- Coskewness and Cokurtosis
- CoVaR and Marginal Expected Shortfall
- Cross-Sectional Factor Return Regressions
- Delta-Gamma VaR for Option Books
- Determining the Number of Factors
- Distortion Risk Measures
- The Diversification Ratio
- Downside Beta
- Drawdown Duration and Time Under Water
- Effective Number of Bets
- Elicitability of Risk Measures
- Entropic Value at Risk
- EWMA Volatility and RiskMetrics
- Backtesting Expected Shortfall
- Expectiles as Risk Measures
- Standardising and Winsorising Factor Exposures
- Factor-Mimicking Portfolios
- Filtered Historical Simulation
- The Gibbons-Ross-Shanken Test
- The Hill Estimator and the Tail Index
- Historical Simulation VaR
- Incremental VaR
- Instrumented Principal Component Analysis
- Liquidity-Adjusted VaR
- Lower Partial Moments
- Macroeconomic Factor Models
- Monte Carlo VaR
- Peaks Over Threshold and the Generalised Pareto Distribution
- Profitability and Investment Factors
- Pure Factor Portfolios
- The q-Factor Model
- Range Value at Risk
- Aggregating Risk Across Books and Desks
- Mapping Positions to Risk Factors
- Risk Horizon and Holding Period
- Validating a Risk Model
- Semideviation and Downside Risk
- Shapley Value Risk Allocation
- Estimating Specific (Idiosyncratic) Risk
- Spectral Risk Measures
- The Square-Root-of-Time Rule
- Stressed VaR
- Tail Dependence Coefficients
- The Ulcer Index
- VaR Backtesting and the Kupiec Test
- Choosing a VaR Confidence Level
- Variance-Covariance VaR
- Evaluating Volatility Forecasts
- Worst-Case CVaR