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. 

Wikimedia Foundation. 2010.

Игры ⚽ Поможем решить контрольную работу

Look at other dictionaries:

  • downside risk — The risk that a security will decline in value including the implications of risk. Bloomberg Financial Dictionary * * * downside risk downside risk ➔ risk1 * * * downside risk UK US noun [C or U] ► FINANCE the possibility that money or the value… …   Financial and business terms

  • downside risk — / daυnsaɪd rɪsk/ noun a risk that an investment will fall in value (NOTE: The opposite is upside potential.) …   Dictionary of banking and finance

  • Downside Risk — An estimation of a security s potential to suffer a decline in price if the market conditions turn bad. You can think of this as an estimate of the amount that you could lose on a stock or other investment …   Investment dictionary

  • Risk — takers redirects here. For the Canadian television program, see Risk Takers. For other uses, see Risk (disambiguation). Risk is the potential that a chosen action or activity (including the choice of inaction) will lead to a loss (an undesirable… …   Wikipedia

  • Downside — The negative movement in the price of a security, sector or market. Downside can also refer to economic conditions and it describes periods when an economy has either stopped growing or is shrinking. Movement to the downside is often expressed in …   Investment dictionary

  • Risk — Typically defined as the standard deviation of the return on total investment. Degree of uncertainty of return on an asset. The New York Times Financial Glossary * * * ▪ I. risk risk 1 [rɪsk] noun 1. [countable, uncountable] the possibility that… …   Financial and business terms

  • risk — (1) Noun The possibility of loss. (2) Noun The uncertainty of whether events, expected or otherwise, will have an adverse impact. In this context, the adverse impact is usually a quantity of return ( income) or value at risk. (3) Noun the… …   Financial and business terms

  • Downside Deviation — A measure of downside risk that focuses on returns that fall below a minimum threshold or minimum acceptable return (MAR). It is used in the calculation of a risk measure known as the Sortino Ratio. Standard deviation, the most widely used… …   Investment dictionary

  • downside — /down suyd /, n. 1. the lower side or part. 2. a downward trend, esp. in stock prices. 3. a discouraging or negative aspect. adj. 4. of or involving a decline, esp. in stock prices: The downside risk on this stock is considered far greater than… …   Universalium

  • downside —  Negative.  ► “The key to these savings is the recognition that the plan sponsor bears almost all of the downside risk, but only receives part of the upside reward.” (Pensions & Investments, Sept. 4, 1995, p. 52) …   American business jargon

Share the article and excerpts

Direct link
… Do a right-click on the link above
and select “Copy Link”