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 |