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Value at risk model

• Abbreviated VAR. Procedure for estimating the probability of portfolio losses exceeding some specified proportion based on a statistical analysis of historical market price trends, correlations, and volatilities.

 
 

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 Embedded terms in definition
 Market
Portfolio
Probability
Statistical analysis
Var
 
 Related Terms
 
Adjusted present value
Affiliate risk
Annualized net present value anpv approach
Assessed value
Asset pricing model
Bankruptcy risk
Basis risk
Baumol model
Binomial option pricing model
Black option model
Black scholes option model
Black scholes option pricing model
Bond value
Book value
Book value per share
Book value weights
Business and industry risk
Business model eps projection
Business risk
Call risk
Capital asset pricing model
Carrying value
Cash surrender value
Commercial risk
Company specific risk
Completion risk
Constant growth dividend valuation gordon model
Constant growth model
Conversion or stock value
Conversion value
Counterparty risk
Country economic risk
Country financial risk
Country risk
Country risk analysis models
Credit risk
Cross border risk
Currency risk
Currency risk sharing
Current principal value
Default risk
Discounted dividend model
Diversifiable risk
Dividend discount model
Dividend growth model
Dividend valuation model
Economic risk
Economic value added
Equilibrium market price of risk
Event risk
Exchange rate risk
Exchange rate risk capital budgeting
Exchange risk
Exercise value
Expected value
Expected value of a return
Expected value of perfect information
Extraordinary positive value
Extrinsic value
Face value
Face value of a bond
Factor model
Fair value
Fair value difference
Fallout risk
Financial risk
Firm specific risk
Firm's net value of debt
Flat price risk
Force majeure risk
Forecasting risk
Foreign exchange fx risk
Foreign exchange risk
Funding risk
Future value
Future value interest factor
Future value interest factor for an annuity
Garmen kohlhagen option pricing model
Geographic risk
Gordon model
Herstatt risk
Ho lee option model
Idiosyncratic risk
Index model
Inflation risk
Insolvency risk
Interest discounted annually present value of reversion
Interest impact on present value of ordinary annuity of 1 per period
Interest rate risk
Interest rate risk management
Intrinsic value
Intrinsic value common stock
Intrinsic value of a firm
Intrinsic value of an option
Intrinsic value warrant
Investment value
Liquidation value
Liquidation value per share
Liquidity risk
Loan value
Macro political risk
Market model
Market price of risk
Market risk
Market risk return function
Market value
Market value ratios
Market value weighted index
Market value weights
Maturity value
Micro political risk
Miller orr model
Mortality risk
Mortgage pipeline risk
Net adjusted present value
Net asset value
Net book value
Net present value
Net present value approach
Net present value of future investments
Net present value of growth opportunities
Net present value profiles
Net present value rule
Net salvage value
Nondiversifiable risk
Nonsystematic risk
Operating risk
Operational risk
Option adjusted spread model
Original face value
Overnight delivery risk
Par value
Par value stocks
Parity value
Pie model of capital structure
Pin risk
Political risk
Prepayment risk
Present value
Present value factor
Present value interest factor
Present value interest factor for an annuity
Present value of a future payment
Present value of growth opportunities
Price risk
Price value of a basis point
Product risk
Purchasing power risk
Rate risk
Regulatory pricing risk
Reinvestment risk
Relative value
Replacement value
Residual risk
Residual value
Reverse price risk
Risk
Risk adjusted discount rate
Risk adjusted profitability
Risk adjusted return
Risk arbitrage
Risk arrays
Risk averse
Risk capital budgeting
Risk classes
Risk controlled arbitrage
Risk free asset
Risk free rate
Risk indexes
Risk indifferent
Risk lover
Risk management
Risk management document
Risk neutral
Risk of technical insolvency
Risk premium
Risk premium approach
Risk prone
Risk return tradeoff
Risk reversal
Risk seeking
Risk transformation
Risk types
Riskless or risk free asset
Salvage value
Settlement risk
Shortfall risk
Simple linear trend model
Single factor model
Single index model
Sovereign risk
Specific risk
Standardized value
Stated value
Straight bond value
Straight value
Surrender value
Systematic risk
Systematic risk principle
Terminal value
Theta risk
Time value
Time value of an option
Time value of money
Total risk
Two factor model
Two state option pricing model
Undiversifiable risk
Unique risk
Unit value
Unsystematic risk
Utility value
Value added tax
Value additivity principal
Value at risk
Value date
Value dating
Value fund or value stocks
Value funds
Value line financial strength
Value line safety
Value manager
Variable growth model
Vega risk
Volatility risk
Zero growth model

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