VaR & ES Flashcards

1
Q

VaR

A

Loss level we are x% confident will not be exceeded at time T

L=mu + sigma Z

How well did you know this?
1
Not at all
2
3
4
5
Perfectly
2
Q

ES

A

Expected loss given that the loss exceeds a certain VaR level

How well did you know this?
1
Not at all
2
3
4
5
Perfectly