value-at-risk
111at risk — The exposure to the danger of economic loss. Frequently used in the context of claiming tax deductions. For example, a person can claim a tax deduction in a limited partnership if the taxpayer can show it is at risk of never realizing a profit… …
112Ex-Post Risk — A type of risk measurement technique that uses historic returns to predict the riskiness of a certain investment in the future. This type of risk measure is the equivalent of the statistical variance of an asset s returns relative to its mean.… …
113market value of portfolio equity — ( MVPE) The difference between the sum of the present values of all cash flows from assets and the sum of the present values of all cash flows from liabilities. In other words, the market value of the institution s capital account. Defined by the …
114Cashflow at Risk — Der Cash Flow at Risk ist eine statistisch ermittelte Kennzahl zur Risikobewertung. Vom Value at Risk unterscheidet er sich lediglich durch die Bezugsgröße Cash Flow. Zur Berechnung des Cash Flow at Risk ist zunächst eine Dekomposition der Cash… …
115net economic value — Term favored by the Federal Banking regulators in lieu of market value of portfolio equity. The difference between the sum of the present values of all cash flows from assets and the sum of the present values of all cash flows from liabilities.… …
116earnings at risk — ( EAR) The quantity by which net income is projected to decline in the event of an adverse change in prevailing interest rates. One measure of an institution s exposure to adverse consequences from changes in prevailing interest rates. See value… …
117capital at risk — A measure of possible worst case losses in excess of the average that is used in banking to calculate both capital requirements and certain performance measures, such as risk adjusted return on capital (RAROC). It is usually based on the value at …
118capital at risk — A measure of worst case losses in excess of the average that is used in banking to calculate both capital requirements and certain performance measures, such as risk adjusted return on capital (RAROC). It is usually based on the value at risk… …
119cash flow at risk — A measure of the risks to a firm s cash flows, calculated by applying the concept of value at risk …
120cash flow at risk — A measure of the risks to a firm s cash flows, calculated by applying the concept of value at risk …
