This is machine translation

Translated by Microsoft
Mouseover text to see original. Click the button below to return to the English verison of the page.

Note: This page has been translated by MathWorks. Please click here
To view all translated materals including this page, select Japan from the country navigator on the bottom of this page.

Market Risk

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.

  • VaR Backtest
    Create a VaR (value-at-risk) backtest model and run suite of VaR backtests
  • Expected Shortfall Backtest
    Create an expected shortfall (ES) backtest model and run suite of ES backtests

Featured Examples

Was this topic helpful?