Earnings at risk
Earnings at risk (EaR) and the related cash flow at risk (CFaR) [1] [2] [3] are measures reflecting the potential impact of market risk on the income statement and cash flow statement respectively, and hence the risk to the institution's return on assets and, ultimately, return on equity. EaR measures the impact on net interest income due to movements in foreign exchange and interest rates; while CFaR measures possible shortfalls in cash flow due to these. Both are calculated under simulation as for Value at Risk.
References
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Financial risk and financial risk management
| Credit risk |
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| Market risk | |
| Operational risk | |
| Other |
- Arbitrage pricing theory
- Black–Scholes model
- Replicating portfolio
- Cash flow matching
- Conditional Value-at-Risk (CVaR)
- Copula
- Drawdown
- First-hitting-time model
- Interest rate immunization
- Market portfolio
- Modern portfolio theory
- Omega ratio
- RAROC
- Risk-free rate
- Risk parity
- Sharpe ratio
- Sortino ratio
- Survival analysis (Proportional hazards model)
- Tracking error
- Value-at-Risk (VaR) and extensions (Profit at risk, Margin at risk, Liquidity at risk, Cash flow at risk, Earnings at risk)
- Diversification
- Expected return
- Hazard
- Hedge
- Risk
- Risk pool
- Risk of ruin
- Systematic risk
- Financial law
- Moral hazard
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