VAR

2013 Client Conference Wrap-Up

2013-10-23 12:00:39
Marc Odo
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Thanks to everyone who made it out to the Annual Informa/Zephyr conference! For those of you who weren’t able to make it, here were the highlights…

Are you ready for StyleADVISOR 8.4! It’s now available!

Jeremy Poulin
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We are pleased to announce the release of StyleADVISOR 8.4. This new version offers many new features and enhancements. Below are descriptions of those new features and enhancements introduced with StyleADVISOR 8.4.

Value-At-Risk

Introducing Value at Risk (VaR) and Conditional Value at Risk (CVaR)

2013-09-11 03:53:38
Marc Odo
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With the release of StyleADVISOR 8.4, Zephyr Associates is incorporating Value at Risk (VaR) and Conditional Value at Risk (CVaR) into our array of risk measures.  In the context of the Zephyr StatMAP, both VaR and CVaR are measures of tail risk.

More information about this topic:

Value at Risk

Value at Risk

Based on a probability distribution, Value at Risk (VaR) quantifies the expected loss under extreme market conditions. It measures the potential loss in value of a risky asset or portfolio over a specified period for a given confidence interval, typically 95% or 99%.

If we assume that returns are independent and identically distributed, then VaR is a quantile of the return distribution. Mathematically, this means that VaR solves the following equation:

The Value and Risk of VaR, Part 1

2012-07-11 01:59:08
Marc Odo
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With the recent hedging loss at JP Morgan swelling to the billions, the idea of Value-at-Risk is again in the spotlight. As with any risk measure, there are pros and cons. Unless one has a clear understanding of what is and isn’t being measured and the assumptions being made, VaR can misrepresent the risks of an investment.

 
 

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