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Risk
Value at Risk (VaR)
Loss threshold not exceeded with X% confidence over Y period
Definition
VaR estimates maximum potential loss over a period at a confidence level. Methods include historical simulation, parametric, and Monte Carlo. Limitations include fat tails and model risk.
Related Topics
#risk measurement
#loss estimation
#confidence interval
#portfolio risk
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Category: Risk
Risk management involves identifying, assessing, and controlling potential losses in investment portfolios.
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