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 the full glossary · What the Celsmar financial terminal is

Definition for informational purposes. It is not financial advice nor a recommendation to buy or sell.