to measure risk
31Coherent risk measure — In the field of financial economics there are a number of ways that risk can be defined; to clarify the concept theoreticians have described a number of properties that a risk measure might or might not have. A coherent risk measure is a function …
32Dynamic risk measure — In financial mathematics, a conditional risk measure is a random variable of the financial risk (particularly the downside risk) as if measured at some point in the future. A risk measure can be thought of as a conditional risk measure on the… …
33Modigliani risk-adjusted performance — or M2 or M2 or Modigliani–Modigliani measure or RAP is a measure of the risk adjusted returns of some investment portfolio. It measures the returns of the portfolio, adjusted for the deviation of the portfolio (typically referred to as the risk) …
34Deviation risk measure — In financial mathematics, a deviation risk measure is a function to quantify financial risk (and not necessarily downside risk) in a different method than a general risk measure. Deviation risk measures generalize the concept of standard… …
35Value at risk — (VaR) is a maximum tolerable loss that could occur with a given probability within a given period of time. VaR is a widely applied concept to measure and manage many types of risk, although it is most commonly used to measure and manage the… …
36Forward measure — A T forward measure is a pricing measure absolutely continuous with respect to a risk neutral measure but rather than using the money market as numeraire, it uses a bond with maturity T. Mathematical Definition Let D(T) = expleft( int 0^T r(u) du …
37Spectral risk measure — A Spectral risk measure is a risk measure given as a weighted average of outcomes (which are standardly assumed to be equiprobable) where bad outcomes are included with larger weights. Definition Consider a portfolio X. There are S equiprobable… …
38Tail value at risk — (TVaR), also known as tail conditional expectation (TCE), is a risk measure associated with the more general value at risk. It is equivalent to expected shortfall when the underlying distribution function is continuous at VaRα(X).[1] This is not… …
39Probability measure — In some cases, statistical physics uses probability measures, but not all measures it uses are probability measures.[1][2] In mathematics, a probability measure is a real valued function defined on a set …
40Relative risk reduction — The relative risk reduction is a measure used in epidemiology. It is calculated by dividing the absolute risk reduction by the control event rate. [cite journal |author=Barratt A, Wyer P, Hatala R, McGinn T, Dans A, Keitz S, Moyer V, For G |title …
