Treasury & Capital Markets: Pricing and Risk Metrics Guide - Understanding Value-at-Risk (VaR)

Treasury & Capital Markets: Pricing and Risk Metrics Guide - Understanding Value-at-Risk (VaR)Treasury & Capital Markets: Pricing and Risk Metrics Guide - Understanding Value-at-Risk (VaR)

Value-at-Risk (VaR) is a market risk measure that has become the industry standard for determining market risk across derivatives portfolios that include several asset classes. It is an estimate of the worst possible loss a portfolio might suffer due to changes in market rates and prices over a specified time period and a specified degree of statistical confidence