Value at risk

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The 5% Value at Risk of a hypothetical profit-and-loss probability density function

In financial mathematics and financial risk management, Value at Risk (VaR) is a widely used risk measure of the risk of loss on a specific portfolio of financial assets. For a given portfolio, probability and time horizon, VaR is defined as 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 in the portfolio) is the given probability level.

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“Perfect Storms” – Beautiful & True Lies In Risk M... “Perfect Storms” – Beautiful & True Lies In Risk Management www.wilmott.com/.../perfectstorms%28may2007%291.pdf - Web

“Gloria Mundi” – All About Value at Risk “Gloria Mundi” – All About Value at Risk www.gloriamundi.org - Web

Risk Management Risk Management www.nytimes.com/.../04risk-t.html?dlbk=&pagewanted=all - Web

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Online real-time VaR calculator Online real-time VaR calculator www.cba.ua.edu/~rpascala/VaR/VaRForm.php - Web

Value-at-Risk (VaR) Value-at-Risk (VaR) simonbenninga.com/wiener/MiER74.pdf - Web

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