Correlated value at risk: Difference between revisions
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The value at risk of a portfolio, calculated by taking account of the degree of correlation between the constituents of the portfolio. | The value at risk of a portfolio, calculated by taking account of the degree of correlation between the constituents of the portfolio. | ||
== See also == | == See also == | ||
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* [[Portfolio analysis]] | * [[Portfolio analysis]] | ||
* [[Value at risk]] | * [[Value at risk]] | ||
[[Category:Risk_frameworks]] | |||
Latest revision as of 14:14, 9 October 2013
The value at risk of a portfolio, calculated by taking account of the degree of correlation between the constituents of the portfolio.
