Approaches to Computing Value- At-risk for Equity Portfolios
نویسندگان
چکیده
Financial risks can be broadly classified into several categories, namely market risk, credit risk, liquidity risk, operational risk, and legal risk [1]. Market risk is the risk of loss arising from changes in the value of tradable or traded assets. Credit risk is the risk of loss due to the failure of the counterparty to pay the promised obligation. Liquidity risk is the risk of loss arising from the inability either to meet payment obligations (funding liquidity risk) or to liquidate positions with little price impact (asset liquidity risk). Operational risk is the risk of loss caused by inadequate or failed internal processes, people and systems, or external events. Legal risk is the risk of loss arising from uncertainty about the enforceability of contracts.
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