Market risk explanation
Market Risk encompasses the uncertainty of future returns deriving from fluctuations in asset prices. In other words, if a portfolio consists of instruments that are subject to price changes, underlying price fluctuations result in portfolio value changes. By analyzing those changes over a given period we can measure the related risk. Over the last few years the
VaR has become the most common measure of market risk.
Article is in the following categories:
Quant KB » Due Diligence» Quantitative Due Diligence
Quant KB » Due Diligence» Quantitative Due Diligence