VAR. A technique which uses the statistical analysis of historical market trends...
Measures risk in terms of potential financial losses on the current portfolio. It can be interpreted as the worst-case scenario an investor can expect to incur on his or her portfolio within a given timeframe and confidence interval.
The amount or percentage of value that is at risk of being lost from a change in prevailing interest rates (similarly defined for things other than interest rates as well). The sensitivity of the value of a single financial instrument, a portfolio of financial instruments, or an entire entity's balance sheet to changes in interest rates can be calculated. The resulting sensitivity is the amount of value at risk. See earnings at risk for an alternative measure of interest rate risk. VAR, sometimes called equity value at risk or EVAR, can be calculated by at least four different mathematical expresions. The simplest and least accurate measure of VAR is the difference between the calculated economic value of equity (EVE) under one projected rate scenario and the calculated EVE under a different projected rate scenario. See correlation VAR, empirical VAR, and historical VAR for definitions of VAR calculated under more rigorous formulae.
The Value at Risk is a measure of how much money could be lost over a certain time period, with a certain probability. It is a commonly used measure of risk.
(VaR) Total value of the potential risk of loss while holding a specific market position. Under the amended Basle Accord, banks can now use VaR models to compute the market risk in their portfolios that must be covered by the various tiers of capital for capital adequacy purposes.
A measure of the risk of a portfolio; the loss that is unlikely to be exceeded in a given period of time with a given level of confidence.... more on: Value at Risk
VaR measures the adverse impact on the value of a portfolio, over a specified time period, of potential changes in market rates and prices. VaR is usually measured at a 99% confidence interval and assumes that changes in rates and prices are correlated.
A measure of the potential change in value that a fund's portfolio may experience during that vehicle's holding period. It is usually expressed as a percentage, which is referred to as a confidence level.
Is the methodology which measures the sensitivity of a portfolio or firm's position with parametric statistical techniques. It uses historical information to estimate the impact of various standard deviation events upon the value of the holdings and the associated impact on earnings.
The expected loss from an adverse market movement.
The full value of all property which could form the basis of a claim under a policy. The basis of the value will vary according to the type of cover e.g. if cover is on a new for old basis, value at risk would normally be calculated on the same basis.
measures the aggregate market risk on a portfolio. VAR is an estimate of the maximum potential change in the value of a portfolio with a given probability over a defined time horizon given the historic pattern of movements in financial markets. For example, A95% of the time losses will not exceed $10mn over a two week period@.
A measure of exposure within a given portfolio, which attempts to estimate how much the portfolio would be expected to lose, given the recent behavior of the securities contained therein.
Method for determining the maximum loss that can be incurred by an organisation on its open positions.
An estimate of the maximum expected loss over a specified period within a given degree of confidence.
In economics and finance, value at risk (VaR) is a measure of how the market value of an asset or of a portfolio of assets is likely to decrease over a certain time period (usually over 1 day or 10 days) under usual conditions. It is typically used by security houses or investment banks to measure the market risk of their asset portfolios (market value at risk), but is actually a very general concept that has broad application. Other measures of risk include volatility/standard deviation, semivariance (or downside risk) and shortfall probability.
