Downside risk

Downside risk

Downside risk is the financial risk associated with losses. That is, the risk of difference between the actual return and the expected return (when the actual return is less), or the uncertainty of that return.[1][2]

Risk measures typically quantify the downside risk, whereas the standard deviation (an example of a deviation risk measure) measures both the upside and downside risk.

References

  1. ^ McNeil, Alexander J.; Frey, Rüdiger; Embrechts, Paul (2005). Quantitative risk management: concepts, techniques and tools. Princeton University Press. pp. 2-3. ISBN 9780691122557. 
  2. ^ Horcher, Karen A. (2005). Essentials of financial risk management. John Wiley and Sons. pp. 1-3. ISBN 9780471706168. 

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