Risk-Adjusted Evaluation

Gangshu Cai ()
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Gangshu Cai: Santa Clara University

Chapter Chapter 11 in Supply Chain Finance, 2024, pp 309-335 from Springer

Abstract: Abstract This chapter delves into advanced financial risk assessment methodologies, emphasizing their relevance in modern supply chain finance. Beginning with Value-at-Risk (VaR), we learn how to evaluate the maximum probable portfolio loss over a given timeframe and confidence level. A deeper exploration of Conditional Value-at-Risk (CVaR), illuminates its unique capacity to capture tail risks, differentiating it from VaR. The chapter then transitions into stress testing, a crucial tool for identifying vulnerabilities in investment strategies under extreme scenarios. Finally, the concept of risk-adjusted returns is elucidated, showcasing its significance in comparing investment outcomes relative to associated risks.

Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-031-56125-2_11

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DOI: 10.1007/978-3-031-56125-2_11

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