Values at Risk

Learn more about Value at Risk

Value at Risk (VaR) is defined as the potential financial loss amount within a specific enterprise, portfolio or position over a given time period with a certain confidence interval. Risk managers use VaR to understand and control the level of risk exposure of a specific position or entire portfolio and use it to measure the overall risk exposure of an asset.

There are several methods for calculating VaR, ranging from simple methods based on historical statistics, parametric methods such as variance-covariance, to more sophisticated methods that use complex mathematical models such as Monte Carlo simulation. The choice of method will depend on the desired accuracy, available data, acceptable level of complexity, and the level of risk the enterprise is willing to take.

More info : Investopedia

Historical VaR

Variance-Covariance VaR

Monte Carlo VaR

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