Finance & Investing · Risk Management
A topic within Risk Management, itself one of 11 topics in that field and part of Finance & Investing.
2 works
J.P. Morgan & Reuters
Lays out a standardised methodology for estimating portfolio value-at-risk from volatilities and correlations, arguing a common, transparent risk metric lets firms and regulators compare risk across asset classes.
Philippe Artzner, Freddy Delbaen, Jean-Marc Eber & David Heath
Proposes four axioms any risk measure ought to satisfy and shows value-at-risk violates one of them, subadditivity, so it can report that diversifying has made a portfolio riskier.
link checked 17 Sept 2026