Value at risk

An estimate of the loss a portfolio should not exceed over a set period at a given confidence level. A one-day 95% VaR of $1 million means losses larger than $1 million are expected on about 5% of days; it says nothing about how large those losses can be.

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Related terms

Risk measures

• Active tail hedging
• Conditional value at risk
• Customer acquisition cost
• Fat tails
• Long-tail risk
• Regulatory compliance
• Risk management
• Skewness
• Stress testing
• Tail-risk diversifiers