Research method
Value at Risk
Value at Risk is a canonical archive-taxonomy method; this registry entry defines its inputs, output and use boundary.
- Output
- Conditional forecast or research filter
- Input
- Ordered price, volume or breadth observations
- Horizon
- A defined sampling interval and lookback
- Best use
- Compare an explicit quantitative baseline with an out-of-sample result.
- Input: Ordered price, volume or breadth observations.
- Output: forecast.
- Use boundary: Compare an explicit quantitative baseline with an out-of-sample result.
The archive
Where the method has been read
Read in the archive7 readings
1993Evaluating downside shortfall versus variance and beta1999Finish the entry from one value-at-risk band2001Evaluate portfolio survival with value-at-risk, budgets, and scenarios2002A screened holding and the utility-average stress test2002Set mixed-book share counts from one portfolio loss bound2012Equity-curve bands as a critique of value at risk2019The recovery budget, the share count, and the first stop from one ranked tail
This registry entry describes a research method. It is not investment advice and does not make a performance claim.