Value At Risk

 
   

Definition: Value At Risk is a widely used risk measure in financial mathematics and financial risk management of the risk of loss on a specific portfolio of financial assets.
For any given portfolio, probability and time horizon, VaR is defined as a threshold value such that the probability that the mark-to-market loss on the portfolio over the given time horizon exceeds this value (assuming normal markets and no trading in the portfolio) is the given probability level.


   

   

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