market risk -凯发k8网页登录
risk of loss arising from movements in market prices
value-at-risk (var) and expected shortfall (es) are important measures of financial risk. var is an estimate of how much value a portfolio can lose in a given time period with a given confidence level. es is the expected loss on days when there is a var failure. var and es backtesting tools assess the accuracy of var and es models.
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create a var (value-at-risk) backtest model and run suite of var backtests
create an expected shortfall (es) backtest model and run suite of es backtests
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