| 单词 | value-at-risk |
| 释义 | value-at-risk value-at-risk(VAR) A measure of risk developed at the former US bank J. P. Morgan Chase in the 1990s, now most frequently applied to measuring market risk and credit risk. It is the level of losses over a particular period that will only be exceeded in a small percentage of cases. A cut-off value for gains and losses is established that excludes a certain proportion of worst-case results (e.g. the bottom 1% of outcomes); the value-at-risk is then measured relative to that cut-off value. VAR was initially designed to measure the overnight risk in certain highly diversified portfolios. It has since developed into a finance industry standard and has been incorporated into the regulatory requirements applying to financial institutions. Recently there have been claims that VAR methodology may have contributed to the global financial crisis of 2007–08 by creating false confidence and encouraging excessive risk-taking. |
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