Value at Risk (VaR)
A technique used to estimate the probability of portfolio losses based on the statistical analysis of historical price trends and volatilities. Investopedia Says:
VaR is commonly used by banks, security firms and companies that are involved in trading energy and other commodities. VaR is able to measure risk while it happens and is an important consideration when firms make trading or hedging decisions. Related Terms:
Conditional Probability
Conditional Value at Risk - CVaR
Ex-Post Risk
Hedge
Mark To Market - MTM
Risk
Robust
Tracking Error
Unconditional Probability
Volatility |