Insert your title here!

1. VaR

with respect to the i th position is

9.1. the partial derivative of VaR with respect to the size of the position
8.1. with respect to the size of the position

7.1. is sum to Var and each component

9. Marginal VaR

2.

attemp to provide a single number that summarize

the toal risk in a portofolio of financial asset
1.1.
"We are X percent certain that we will not lose
more than V dollar in the next N dys
1.2.

VaR VS
Expected Shortfall

8. incremental VaR
7. th Component VaR

3.1. Monotonicy

The VaR
3.

Property of Risk
Measure

6.1. how well thw VaR model would have oerformed in the past
6.2.1.
6.2.2.

extent to wich exception s are bunched

6.2.

to ways to indicate the weakness of Var model

3.2. Translation
3.3. Homogenity
3.4.

6. Back testing

percentage of exception

whereas VaR asks how bad can things get,

2.1. expected shortfall asks "if things do get bad, what is the expected loss?"

Subadditivity

4. Choice of Parameter for VaR

5. stress testing

MANAJEMEN RISIKO

4.1. confidence level - when changes in a portfolio value are nprmally distributed

it consideres scenarios that either have occurred in the past or

a considered possibilities for the future
5.1.