value at risk (VAR) definition

value at risk (VAR)

Largest loss likely to be suffered on a portfolio position over a holding period (usually 1 to 10 days) with a given probability (confidence level). VAR is a measure of market risk, and is equal to one standard deviation of the distribution of possible returns on a portfolio of positions.

value at risk (VAR) is in the Banking, Commerce & Finance, Disaster Planning & Risk Management, Investing and Statistics, Mathematics, & Analysis subjects.

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