A statistical estimate of the potential maximum loss over a given period at a given confidence level (e.g. 95%). VaR quantifies tail risk: e.g. “$1M VaR at 99%” means there is a 1% chance of losing more than $1M over the period.
A statistical estimate of the potential maximum loss over a given period at a given confidence level (e.g. 95%). VaR quantifies tail risk: e.g. “$1M VaR at 99%” means there is a 1% chance of losing more than $1M over the period.