What does value at risk mean?

Definitions for value at risk
value at risk

This dictionary definitions page includes all the possible meanings, example usage and translations of the word value at risk.


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Wiktionary

  1. Value at Risknoun

    A widely used measure of the risk of loss on a specific portfolio of financial assets. For a given portfolio, probability and time horizon, VaR is 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) is the given probability level.

Wikidata

  1. Value at risk

    In financial mathematics and financial risk management, Value at Risk is a widely used risk measure of the risk of loss on a specific portfolio of financial assets. For a 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 is the given probability level. For example, if a portfolio of stocks has a one-day 5% VaR of $1 million, there is a 0.05 probability that the portfolio will fall in value by more than $1 million over a one day period if there is no trading. Informally, a loss of $1 million or more on this portfolio is expected on 1 day out of 20 days. A loss which exceeds the VaR threshold is termed a “VaR break.” Thus, VaR is a piece of jargon favored in the financial world for a percentile of the predictive probability distribution for the size of a future financial loss. In other words if you have a record of portfolio value over time then the VaR is simply the negative quantile function of those values. VaR has four main uses in finance: risk management, financial control, financial reporting and computing regulatory capital. VaR is sometimes used in non-financial applications as well.

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Numerology

  1. Chaldean Numerology

    The numerical value of value at risk in Chaldean Numerology is: 7

  2. Pythagorean Numerology

    The numerical value of value at risk in Pythagorean Numerology is: 4

Examples of value at risk in a Sentence

  1. Jon Weiss:

    While we have built out activities such as liquid products, mortgages and prime brokerage - and our business has grown consistently over the years - value-at-risk and other measures of risk have actually gone down.


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"value at risk." Definitions.net. STANDS4 LLC, 2024. Web. 28 Mar. 2024. <https://www.definitions.net/definition/value+at+risk>.

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