Market Value at Risk
Overview
Market value at risk is a model of risk where the randomness associated with the model is driven by market prices
(as opposed to credit risk, or defaults, for instance).
The typicaly example is the value at risk for a portfolio of stocks. A more complex example is the value at risk
for a portfolio of fixed income instruments. In this case, the prices of the instruments themselves are driven
by interest rates. (or equivalently, the prices of zero coupon bonds.)
Model Types
