Value At Risk

This Issue in United States

Value at Risk (var)

Concept of Value at Risk (var) in the context of derivatives contract, by the International Swaps and Derivatives Association (ISDA): A statistical measure which calculates the maximum loss that any financial instrument may be expected to suffer over a defined period with a specified confidence level (e.g. a 95% confidence level on a 100 day VaR measure assumes that the maximum loss would not be exceeded on 95 days out of 100). VaR is a valuable risk management tool as it allows risk across diverse asset classes to be pooled into a single measure of potential aggregate loss.

Resources

See Also

• Derivatives Contract