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What is Value-at-Risk (VaR)

Chapter 79
Encyclopedia of Business Analytics and Optimization
A a risk measure, defined as the maximum loss in the value of a portfolio for a given confidence level alpha (usually between 90 and 100 per cent) over a pre-defined holding period, and based on a price changes distribution (Profit and Loss distribution).
Published in Chapter:
Estimating Risk with Copulas
Iva Mihaylova (University of St. Gallen, Switzerland)
Copyright: © 2014 |Pages: 14
DOI: 10.4018/978-1-4666-5202-6.ch079
Full Text Chapter Download: US $37.50 Add to Cart
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Chapter 722
Signal Processing for Financial Markets
The threshold value such that the probability that the mark-to-market loss on the portfolio over the given time horizon exceeds this value.
Published in Chapter: Signal Processing for Financial Markets; From: Encyclopedia of Information Science and Technology, Third Edition
Full Text Chapter Download: US $37.50 Add to Cart
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