value at risk

Crisis Template

2014-01-14 10:56:00
Marc Odo
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At Zephyr we recently completed a template that focuses upon short-term “crisis” events. This can be thought of as a variation of our popular “market cycles” templates. The template will show any manager or benchmark during a number of pre-defined market crisis events, typically as short as a few months.

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.


Conditional Value at Risk

Conditional Value at Risk seeks to measure what occurs when the VaR breakpoint is exceeded.

While VaR provides a loss limit that a manager is rarely expected to exceed, when that limit is exceeded VaR provides little information about the size of the expected loss. One way to address this concern is to instead consider the average value of all possible losses that exceed VaR, weighted by the probability of each loss occurring. This is defined as Conditional Value at Risk (CVaR).

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, pt. 2

2012-08-08 08:45:38
Marc Odo
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In a previous ZephyrCOVE post I discussed what VaR is and isn’t, some of VaR’s key assumptions, and how it has evolved. In this follow-up post I will explore how VaR is being applied to manager and portfolio analysis, which is Zephyr’s core business. That being said, all of the original points surrounding VaR raised in the previous post still apply here.

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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