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RiskMetrics assumes that the market is driven by risk factors with observable covariance. The risk factors are represented by time series of prices or levels of stocks, currencies, commodities, and interest rates. Instruments are evaluated from these risk factors via various pricing models.
In the context of risk measurement, a risk metric is the concept quantified by a risk measure. When choosing a risk metric, an agent is picking an aspect of perceived risk to investigate, such as volatility or probability of default.
A risk matrix is a matrix that is used during risk assessment to define the level of risk by considering the category of likelihood (often confused with one of its possible quantitative metrics, i.e. the probability) against the category of consequence severity. This is a simple mechanism to increase visibility of risks and assist management ...
In financial mathematics, a risk measure is used to determine the amount of an asset or set of assets (traditionally currency) to be kept in reserve. The purpose of this reserve is to make the risks taken by financial institutions , such as banks and insurance companies, acceptable to the regulator .
Key risk indicators are metrics used by organizations to provide an early signal of increasing risk exposures in various areas of the enterprise. It differs from a key performance indicator (KPI) in that the latter is meant as a measure of how well something is being done while the former is an indicator of the possibility of future adverse impact.
Risk measure. Distortion risk measure; Tail conditional expectation; Value at risk; Convex risk measure Entropic risk measure; Coherent risk measure. Discounted maximum loss; Expected shortfall; Superhedging price; Spectral risk measure; Deviation risk measure. Standard deviation or Variance; Mid-range Interdecile range; Interquartile range
A risk score is a metric used in statistics, biostatistics, econometrics and related disciplines to stratify a population for targeted screening. It assigns scores to ...
Risk accounting introduces the Risk Unit (RU) to measure non-financial risks, enabling their quantification, aggregation, and reporting. This approach uses three primary metrics: Inherent Risk, which quantifies the pre-mitigation level of non-financial risk in RUs; the Risk Mitigation Index (RMI), assessing the effectiveness of risk mitigation activities on a zero to 100 scale; and Residual ...