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Interim Risk

Investors tpically measure risk as the probability of a given loss ot the amount that can be lost with a given probability at the end of their investment horizons. This view of risk only considers the final result, but investors are affected by exposure to loss throughout the investment period, not just at its conclusion.

Two measures to quantify "interim risk"...

  • Within-horizon probability of loss
  • Continuous Value-At-Risk

 

Literature:

  • Kritzman, Rich (2002): "The Mismeasurement of Risk", Financial Analyst Journal, May/June