Category
page 1Financial risk modeling
capital asset pricing model
model
diversification
the process of allocating capital in a way that reduces the exposure to any one particular asset or risk
value at risk
estimated, as yet unrealised loss for an investment for a given set of conditions
modern portfolio theory
mathematical framework for assembling a portfolio of assets such that the expected return is maximized for a given level of risk, defined as variance
risk aversion
preference against risk, a common human behavior of attempting to lower uncertainty and avoid risk
extreme value theory
branch of statistics focusing on large deviations
risk-neutral measure
probability measure
Fama–French three-factor model
statistical model for asset pricing in finance incorporating risk, price and company size
risk measure
concept in financial mathematics that is used to determine the amount of an asset or set of assets to be kept in reserve
Downside risk
financial risk associated with losses, actual returns below benchmarks, or results below expectation