Definitions

from Wiktionary, Creative Commons Attribution/Share-Alike License.

  • noun finance, banking A widely used measure of the risk of loss on a specific portfolio of financial assets. For a given portfolio, probability and time horizon, VaR is a threshold value such that the probability that the mark-to-market loss on the portfolio over the given time horizon exceeds this value (assuming normal markets and no trading) is the given probability level.

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