Market Risk
Risk of loss arising from movements in market prices
Value-at-risk (VaR) and expected shortfall (ES) are important measures of financial risk. VaR is an estimate of how much value a portfolio can lose in a given time period with a given confidence level. ES is the expected loss on days when there is a VaR failure. VaR and ES backtesting tools assess the accuracy of VaR and ES models.
Categories
- VaR Backtest
Create a VaR (value-at-risk) backtest model and run suite of VaR backtests - Expected Shortfall Backtest
Create an expected shortfall (ES) backtest model and run suite of ES backtests
Featured Examples
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