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 Glossary   >   V   >   "Value-at-Risk model (VaR)" Definition   

        Value-at-Risk model (VaR)

Procedure for estimating the probability of portfolio losses exceeding some specified proportion based on a statistical analysis of historical market price trends, correlations, and volatilities.

Value-at-Risk model (VaR)
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Value-at-Risk model (VaR) \ Procedure for estimating the probability of portfolio losses exceeding some specified proportion based on a statistical analysis of historical market price trends, correlations, and volatilities.


Value-at-Risk model (VaR) / procedure for estimating the probability of portfolio losses exceeding some specified proportion based on a statistical analysis of historical market price trends, correlations, and volatilities.