|Value-at-Risk model (VAR)|
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Definition of Value-at-Risk model (VAR)
Value-at-Risk model (VAR)
Procedure for estimating the probability of portfolio losses exceeding some
The sum of all the interest options in your policy, including interest.
An amount of money invested plus the interest earned on that money.
The net present value analysis of an asset if financed solely by equity
a method of allocating joint cost to joint products using a
Yield curve option-pricing models.
A model for determining the required rate of return on an asset.
A model, such as the Capital Asset Pricing model (CAPM), that determines the required
The amount of total risk that can be eliminated by diversification by
The risk that a firm will be unable to meet its debt obligations. Also referred to as default or insolvency risk.
The uncertainty about the basis at the time a hedge may be lifted. Hedging substitutes basis risk for
The amount of cash payable on a benefit.
risk of a firm measured from the standpoint of an investor who holds a highly diversified portfolio.
A method of pricing options or other equity derivatives in
An option pricing model in which the underlying asset can take on only two
The first complete mathematical model for pricing
Black-Scholes option-pricing model
A model for pricing call options based on arbitrage arguments that uses
With respect to convertible bonds, the value the security would have if it were not convertible
A company's book value is its total assets minus intangible assets and liabilities, such as debt. A
An asset’s cost basis minus accumulated depreciation.
The value of an asset as carried on the balance sheet of a
An asset’s original cost, less any depreciation that has been subsequently incurred.
Net worth of the firm’s assets or liabilities according
book value and book value per share
Generally speaking, these terms
BOOK VALUE OF COMMON STOCK
The theoretical amount per share that each stockholder would receive if a company’s assets were sold on the balance sheet’s date. Book value equals:
Book value per share
The ratio of stockholder equity to the average number of common shares. Book value
Book Value per Share
The book value of a company divided by the number of shares
the difference between total actual overhead
The risk that the cash flow of an issuer will be impaired because of adverse economic
an activity that is necessary for the operation of the business but for which a customer would not want to pay
The combination of cash flow uncertainty and reinvestment risk introduced by a call provision.
Capital asset pricing model (CAPM)
An economic theory that describes the relationship between risk and
Capital Asset Pricing Model (CAPM)
A model for estimating equilibrium rates of return and values of
capital asset pricing model (CAPM)
Theory of the relationship between risk and return which states that the expected risk
CAPITAL IN EXCESS OF PAR VALUE
What a company collected when it sold stock for more than the par value per share.
An amount the insurance company will pay if the policyholder ends a whole life
Cash Surrender Value
This is the amount available to the owner of a life insurance policy upon voluntary termination of the policy before it becomes payable by the death of the life insured. This does not apply to term insurance but only to those policies which have reduced paid up values and cash surrender values. A cash surrender in lieu of death benefit usually has tax implications.
Cash Surrender Value
Benefit that entitles a policy owner to an amount of money upon cancellation of a policy.
Cash value added (CVA)
A method of investment appraisal that calculates the ratio of the net present value of an
coefficient of variation
a measure of risk used when the standard deviations for multiple projects are approximately
The risk that a foreign debtor will be unable to pay its debts because of business events,
Related: Unsystematic risk
See asset-specific risk
The risk that a project will not be brought into operation successfully.
constant-growth dividend discount model
Version of the dividend discount model in which dividends grow at a constant rate.
Also called the Gordon-Shapiro model, an application of the dividend discount
Continuous random variable
A random value that can take any fractional value within specified ranges, as
the budget variance of the two variance approach to analyzing overhead variances
Also called parity value, the value of a convertible security if it is converted immediately.
The risk that the other party to an agreement will default. In an options contract, the risk
Country financial risk
The ability of the national economy to generate enough foreign exchange to meet
Country risk General
Level of political and economic uncertainty in a country affecting the value of loans or
A statistical measure of the degree to which random variables move together.
A measure of the degree to which returns on two assets move in
The risk that an issuer of debt securities or a borrower may default on his obligations, or that the
Financial and moral risk that an obligation will not be paid and a loss will result.
Refers to the volatility of returns on international investments caused by events associated
Related: Exchange rate risk
Currency risk sharing
An agreement by the parties to a transaction to share the currency risk associated with
an unknown item for which a linear programming
Also referred to as credit risk (as gauged by commercial rating companies), the risk that an
an unknown variable that is to be predicted
Liability-matching models that assume that the liability payments and the asset cash
Direct materials mix variance
The variance between the budgeted and actual mixes of
Discounted dividend model (DDM)
A formula to estimate the intrinsic value of a firm by figuring the
Discrete random variable
A random variable that can take only a certain specified set of discrete possible
Related: unsystematic risk.
dividend discount model
Computation of today’s stock price which states that share value equals the present value of all expected future dividends.
Dividend discount model (DDM)
A model for valuing the common stock of a company, based on the
Dividend growth model
A model wherein dividends are assumed to be at a constant rate in perpetuity.
economic components model
Abrams’ model for calculating DLOM based on the interaction of discounts from four economic components.
In project financing, the risk that the project's output will not be salable at a price that will
Economic Value Added (EVA)
Operating profit, adjusted to remove distortions caused by certain accounting rules, less a charge
economic value added (EVA)
a measure of the extent to which income exceeds the dollar cost of capital; calculated
economic value added (EVA)
Term used by the consulting firm Stern Stewart for profit remaining after deduction of the cost
A value determined within the context of a model.
Equilibrium market price of risk
The slope of the capital market line (CML). Since the CML represents the
The risk that the ability of an issuer to make interest and principal payments will change because
Exchange rate risk
Also called currency risk, the risk of an investment's value changing because of currency
The variability of a firm's value that results from unexpected exchange rate changes or the
The amount of advantage over a current market transaction provided by an in-the-money
The value that an asset is expected to have at the time it is sold at a predetermined
A variable whose value is determined outside the model in which it is used. Also called
The weighted average of a probability distribution.
The value of the possible outcomes of a variable weighted by the
Expected value of perfect information
The expected value if the future uncertain outcomes could be known
Extraordinary positive value
A positive net present value.
Extrapolative statistical models
models that apply a formula to historical data and project results for a
See: Par value.
The nominal value of a security. Also called the par value.
The maturity value of a security. Also known as par value,
Payment at the maturity of the bond. Also called par value or maturity value.
The payoff value of a bond upon maturity. Also called par value. See principal.
The nominal value which appears on the face of a document recording an entitlement, generally an amount of money that has to be repaid on the maturity of a debt instrument.
A way of decomposing the factors that influence a security's rate of return into common and
Fair market value
The price that an asset or service will fetch on the open market.
Fair Market Value
The highest price available, expressed in terms of cash, in an open and unrestricted market between informed, prudent parties acting at arm's length and under no compulsion to transact.
The amount at which an asset could be purchased or sold or a liability incurred or
A type of mortgage pipeline risk that is generally created when the terms of the loan to be
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