Definitions for

**"VALUE-AT-RISK"**which uses historical data to assess the impact of market moves on a portfolio. A current portfolio is subjected to historically recorded market movements; this is used to generate a distribution of returns on the portfolio. This distribution can then be used to calculate the maximum loss with a given likelihood – ie, the value-at-risk. Because historical simulation uses real data, it can capture unexpected events and correlations which would not necessarily be predicted by a theoretical model. HISTORICAL VOLATILITY The annualised standard deviation of percentage changes in futures prices over a specific period. It is an indication of past

Measures the worst expected loss over a given time interval under normal market conditions at a given confidence level.

A statistical measure of the maximum loss on the company's positions within a given period with a given probability.