VaR (value at risk)
VaR estimates the maximum loss a portfolio should not exceed over a given horizon at a given confidence level. A 5% one-day VaR of 3% means that on 95 days out of 100 the daily loss would stay below 3%. Its limitation is obvious and famous: it says nothing whatsoever about how much can be lost on the other five days.
See also
See it on real data
Celsmar computes this from the accounts companies file with their regulator, and shows which line every figure comes from. Free to start, no card.
Definition for informational purposes. It is not financial advice nor a recommendation to buy or sell.