Value at RiskRisk Management
Value at Risk measures the loss that occurs at a confidence level. The typical confidence levels are 90%, 95%, and 99%. At each level, a certain loss is given based on either the parametric method, the historical method, or the fat-tailed method of calculating Value at Risk.
The parametric value at risk uses normal distribution and has all the issues that come with assuming a normal distribution. It can overestimate upside return and underestimate downside return, which is pretty important if you’re trying to determine the losses you’re likely to suffer. This is one of the reasons I prefer to use historical value at risk. Historical value at risk simply uses actual real values for the 90%, 95%, and 99% returns as Value at Risk numbers. The lowest returns are selected if sorted from highs to lows. Note that there are more highly complex models for value at risk that are also more accurate. These are very simple ways of calculating average true range.
Did we help you? Vote with a Crypto-Donation!
Donate Bitcoin Cash
International Economic Analysis:
- Major Currency Economic Summaries
- Performance of Major Imports and Exports
- Mandates of Central Banks versus Expectations
- Performance Indexes of Major Economies
- Economically Correlated Currency Projections
- Large Funds Currency Sentiment Readings
- List of Technical Indicators to Look For
- Occasional: Foregin Exchange Technicals Markups
American Markets Analysis:
- Summaries of American Economic Structure
- Performance of Major
- Federal Reserve Mandate versus Expectations
- Performance Indexes of U.S Economy
- Economically Correlated U.S Dollar Projections
- Large Trading Fund Index Sentiment Readings
- Market Wide Earnings Versus Valuations
- Fundamental Ranking of U.S Business Sectors
- Best and Worst Future Consensus Estimates
- Occasional: Firm Fundamental Strength Report
- List of Technicals to Look for While Trading
Investment and Finance, Serviced by Amazon
No Results Found
The page you requested could not be found. Try refining your search, or use the navigation above to locate the post.