Home/Value at Risk
Search Knowledge Base by Keyword

Value at Risk

This is the maximum amount of capital that the position can expect to lose within a specified holding period (we use 1 month period) and with a specified confidence level (we use 95%). Example: if VaR is -10%, you can expect that 95% of the next month returns will be better than -10%.

It’s possible to calculate VaR on a monthly or daily basis.

Previous Value Added Monthly Index (VAMI)
Next Which risk-free rate of return (RFR) do you apply for the calculations?

Need help? Feel Free to Ask

Go to Top