Value at Risk
5 definitions

Value at Risk

An important tool for market risk management that measures the risk of loss of a portfolio. The VaR projects the maximum expected loss for a given time horizon and probability. For example, the VaR over 10 days and with 99 percent certainty measures the most one would expect to lose over a 10-day period, 99 percent of the time.

Value at Risk

The estimate of the maximum amount that the value of covered positions could decline during a fixed holding period within a stated confidence level.

Value at Risk
"Value at risk": (VaR). Value at risk quantifies risk by estimating a maximum likely adverse change, within a specified time period, with a specified level of confidence. A common application is the maximum likely loss on a market position, before the position can be closed out. VaR is expressed as an amount of money, for example €. For example if weekly VaR is assessed as €250,000 at a 95% level of confidence, it means we are 95% confident that cumulative net losses for any one week will not exceed €250,000. So the probability that weekly losses will exceed €250,000 is 5%, according to the VaR assessment. The specified time period is commonly the planned holding period, or else the time lag before the holder of the position could normally respond to close out their loss-making position.
Value at Risk
as defined in CFA Glossary

A money measure of the minimum value of losses expected during a specified time period at a given level of probability.

Value at Risk

The probability of loss from a position, typically calculated using a 95 or 99% confidence interval over a holding period of one to ten days.

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About this term

Value at Risk has been defined 5 different ways in documents like Office of Financial Research Glossary, Custody Services: Comptroller's Handbook, Glossary of Terms, and 2 more.

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