Difference between revisions of "Value at Risk"
From Open Risk Manual
Wiki admin (talk | contribs) |
Wiki admin (talk | contribs) |
||
Line 15: | Line 15: | ||
* [[Expected Shortfall]] | * [[Expected Shortfall]] | ||
* [[wikipedia:Value_at_risk | Value at Risk]] | * [[wikipedia:Value_at_risk | Value at Risk]] | ||
+ | * [[Credit Value at Risk]] | ||
[[Category:Tail Risk]] | [[Category:Tail Risk]] | ||
[[Category:Risk Models]] | [[Category:Risk Models]] |
Revision as of 14:04, 16 April 2021
Definition
Value at Risk (VaR) is a Risk Measure that aims to capture the downside value risk of a Market Portfolio.
Formula
VaR is a quantile Risk Measure and requires the specification of
- An aggregate Portfolio Profit and Loss variable constructed as the sum of potential individual market losses
- A Confidence Level
Given a confidence level , the VaR of calculated portfolio loss at the confidence level is the smallest number such that the probability that the loss exceeds is at least .