Risk measures
Portfolio Risk Service" module
The available risk measures are displayed in the "Risk Service - Server Status" template. The dimensions have the following meaning:
| Element | Description |
|---|---|
VaR | Value at risk |
CVaR | Conditional value at risk (expected shortfall) |
MarVaR | Marginal Value at Risk |
IncVaR | Incremental value at risk |
CompVaR | Component Value at Risk |