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2. Expected shortfall - Wikipedia

   en.wikipedia.org/wiki/Expected_shortfall

   Expected shortfall (ES) is a risk measure—a concept used in the field of financial risk measurement to evaluate the market risk or credit risk of a portfolio. The "expected shortfall at q% level" is the expected return on the portfolio in the worst q % {\displaystyle q\%} of cases.

3. Tail value at risk - Wikipedia

   en.wikipedia.org/wiki/Tail_value_at_risk

   Under some other settings, TVaR is the conditional expectation of loss above a given value, whereas the expected shortfall is the product of this value with the probability of it occurring. [3] The former definition may not be a coherent risk measure in general, however it is coherent if the underlying distribution is continuous. [4]

4. Value at risk - Wikipedia

   en.wikipedia.org/wiki/Value_at_risk

   However, it can be bounded by coherent risk measures like Conditional Value-at-Risk (CVaR) or entropic value at risk (EVaR). CVaR is defined by average of VaR values for confidence levels between 0 and α. However VaR, unlike CVaR, has the property of being a robust statistic. A related class of risk measures is the 'Range Value at Risk' (RVaR ...

5. Coherent risk measure - Wikipedia

   en.wikipedia.org/wiki/Coherent_risk_measure

   The average value at risk (sometimes called expected shortfall or conditional value-at-risk or ) is a coherent risk measure, even though it is derived from Value at Risk which is not. The domain can be extended for more general Orlitz Hearts from the more typical Lp spaces .

6. Distortion risk measure - Wikipedia

   en.wikipedia.org/wiki/Distortion_risk_measure

   Conditional value at risk is a distortion risk measure with associated distortion function () = {<. [2] [3] The negative expectation is a distortion risk measure with associated distortion function g ( x ) = x {\displaystyle g(x)=x} .

7. Drawdown (economics) - Wikipedia

   en.wikipedia.org/wiki/Drawdown_(economics)

   The authors start by proposing an auxiliary function (), where is a vector of portfolio returns, that is defined by: = {+ [(,)] +} They call this the conditional drawdown-at-risk (CDaR); this is a nod to conditional value-at-risk (CVaR), which may also be optimized using linear programming. There are two limiting cases to be aware of:

8. Chartered Financial Analyst - Wikipedia

   en.wikipedia.org/wiki/Chartered_Financial_Analyst

   The Chartered Financial Analyst (CFA) program is a postgraduate professional certification offered internationally by the US-based CFA Institute (formerly the Association for Investment Management and Research, or AIMR) to investment and financial professionals.

9. Tracking error - Wikipedia

   en.wikipedia.org/wiki/Tracking_error

   Under the assumption of normality of returns, an active risk of x per cent would mean that approximately 2/3 of the portfolio's active returns (one standard deviation from the mean) can be expected to fall between +x and -x per cent of the mean excess return and about 95% of the portfolio's active returns (two standard deviations from the mean) can be expected to fall between +2x and -2x per ...