Risk & Portfolio Management
3 terms
Value at Risk
Risk & Portfolio Management
₹
The loss a portfolio is not expected to exceed over a stated period at a stated confidence level.
Parametric VaR = Portfolio Value x Z-score for the confidence level x Standard Deviation of Returns over the period
Variance
Risk & Portfolio Management
%
The average of the squared deviations of returns from their mean.
Variance = Sum of (Return - Mean Return) squared / Number of Observations
Volatility
Risk & Portfolio Management
%
The degree to which an asset's returns vary around their average, usually measured as annualised standard deviation.
Annualised Volatility = Standard Deviation of Daily Returns x square root of 252