Modified Value at Risk

The Modified Value at Risk is calculated in the same manner as Value at Risk but doesn’t assume a normal distribution of returns. In contrast it “corrects” the Value at Risk using the calculated skewness and kurtosis of the distribution of returns.

Modified Value at Risk

Investors who are required to select and monitor investment managers should develop a basic understanding of investment statistics. Quantitative tools can provide you with good insight that you can use in your qualitative interviews with managers and when monitoring your investments.