Value at Risk

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Value at Risk

In risk analysis, a method to measure the probability of loss on an investment. One calculates the value at risk by measuring the historical trends and volatility of the investment. The method is used most often by investors in highly volatile commodities, such as energy products.
References in periodicals archive ?
Prior to that he worked at State Street Associates and was co-architect in the development of the continuous value at risk model that is now a commonly used measure of risk.
Under this new regulatory approach CSFB Capital is allowed to calculate its capital charges for market and credit risk based on the Firm's internal value at risk model.
For example, a misunderstanding of the strengths and weaknesses of Value at Risk models may have led leadership at multiple financial institutions to become overconfident and overly reliant on models in decision-making.
In conjunction with developing all risk measurement models, such as market value at risk and credit value at risk models, they were charged with bringing together, cleaning and maintaining a financial rates database that would include market and credit market data from many different sources.