|
 |
Investing Glossary:
Value-at-risk model (VaR)
Copyright 2009,
Campbell R. Harvey. All Rights Reserved.
Do not reproduce without explicit permission.
- V -
| Term: |
| Value-at-risk model (VaR)
|
|
| Definition: |
| Procedure for estimating the Probability of Portfolio losses exceeding some specified proportion based On a statistical Analysis of historical Market price trends, correlations, and volatilities.
|
|
|
| |
|
