Explore RiskMetrics, a key method for assessing Value at Risk (VaR) in portfolios, and its significance in market risk analysis and investment decision-making.

Downside risk refers to the potential for an investment to decrease in value. Unlike general risk, which considers both upward and downward price movements, downside risk focuses solely on the ...

DTCC has launched a new public-facing Value at Risk (VaR) calculator to help increase transparency for market participants. The calculator enables participants to evaluate potential margin and ...

The Depository Trust & Clearing Corporation (DTCC) has launched enhancements to its Value at Risk (VaR) calculator, adding cross-margining and repo transaction functionalities. The updated risk tools ...

Can we just rely on the output when it is based on a range of assumptions and underlying relationships, which can and do change? When we are told that returns are expected to be within a certain range ...

Calculates a standard and filtered historical VaR for Commodity Exchange Traded Derivatives and FX for use end-of-day and intra-day with a detailed breakdown of results and analysis of risk drivers ...