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Tag Archives: Internal Capital Adequacy

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Market Risk Metrics – Put Premium

The put premium gives the conditional expectation of loss beyond the worst case loss, if the worst case loss occurred. In more friendly language this means: Value at Risk (VaR) is a point estimate for the worst case loss. It is described at a given

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Market Risk Metrics – Holding Period Return

The Holding Period Return represents the return earned by an instrument (e.g. an equity stock) over the time that it is held by an entity or alternatively over the period of analysis. A positive return indicates that the value of the instrument has grown in

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