{"id":111250,"date":"2021-02-27T14:01:50","date_gmt":"2021-02-27T08:31:50","guid":{"rendered":"https:\/\/www.vskills.in\/certification\/tutorial\/?page_id=111250"},"modified":"2024-04-12T14:31:24","modified_gmt":"2024-04-12T09:01:24","slug":"var-value-at-risk","status":"publish","type":"page","link":"https:\/\/www.vskills.in\/certification\/tutorial\/var-value-at-risk\/","title":{"rendered":"VaR (Value at Risk)"},"content":{"rendered":"\n

VaR (value at risk) was invented by JP Morgan in 1994 as a general risk management tool and has now become the industry standard for risk. It has become a popular and important risk measure primarily because of the Basel Committee, who standardise international banking regulations and practises.<\/p>\n\n\n\n

VaR lets an investor know in monetary terms how much one’s portfolio can expect to lose, for a given cumulative probability and for a given time horizon.<\/p>\n\n\n\n

For example, for a cumulative probability of 99% over a period of 1 day, the VaR amount would tell us the amount by which one would expect the portfolio to lose e.g. $100. Mathematically we express this as.<\/p>\n\n\n\n

Pr [portfolio loss \u00b7 VaR] = 0.95%<\/p>\n\n\n\n

Pr [portfolio loss \u00b7 $100] = 0.95%<\/p>\n\n\n\n

Note that Pr [. . .] denotes “cumulative probability of [. . .]” and is measured over the same time period as the loss.<\/p>\n\n\n\n

VaR can be calculated by simulation using historical data or some mathematical formula. VaR can also be calculated by the “variance-covariance method” (also known as the delta-normal method) but makes unrealistic assumptions about portfolio returns e.g. returns are normally distributed.<\/p>\n\n\n\n

Apply for Hedge Fund Certification!<\/strong><\/h3>\n\n\n\n

https:\/\/www.vskills.in\/certification\/certified-hedge-fund-manager<\/a><\/p>\n\n\n\n

Back to Tutorials<\/strong><\/a><\/h4>\n","protected":false},"excerpt":{"rendered":"

VaR (value at risk) was invented by JP Morgan in 1994 as a general risk management tool and has now become the industry standard for risk. It has become a popular and important risk measure primarily because of the Basel Committee, who standardise international banking regulations and practises. VaR lets an investor know in monetary…<\/p>\n","protected":false},"author":1,"featured_media":0,"parent":0,"menu_order":0,"comment_status":"closed","ping_status":"closed","template":"","meta":{"footnotes":""},"categories":[],"tags":[],"class_list":["post-111250","page","type-page","status-publish","hentry"],"acf":[],"yoast_head":"\nVaR (Value at Risk) - Tutorial<\/title>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" href=\"https:\/\/www.vskills.in\/certification\/tutorial\/var-value-at-risk\/\" \/>\n<meta property=\"og:locale\" content=\"en_US\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"VaR (Value at Risk) - Tutorial\" \/>\n<meta property=\"og:description\" content=\"VaR (value at risk) was invented by JP Morgan in 1994 as a general risk management tool and has now become the industry standard for risk. It has become a popular and important risk measure primarily because of the Basel Committee, who standardise international banking regulations and practises. VaR lets an investor know in monetary...\" \/>\n<meta property=\"og:url\" content=\"https:\/\/www.vskills.in\/certification\/tutorial\/var-value-at-risk\/\" \/>\n<meta property=\"og:site_name\" content=\"Tutorial\" \/>\n<meta property=\"article:publisher\" content=\"https:\/\/www.facebook.com\/vskills.in\/\" \/>\n<meta property=\"article:modified_time\" content=\"2024-04-12T09:01:24+00:00\" \/>\n<meta name=\"twitter:label1\" content=\"Est. reading time\" \/>\n\t<meta name=\"twitter:data1\" content=\"1 minute\" \/>\n<script type=\"application\/ld+json\" class=\"yoast-schema-graph\">{\"@context\":\"https:\/\/schema.org\",\"@graph\":[{\"@type\":\"WebPage\",\"@id\":\"https:\/\/www.vskills.in\/certification\/tutorial\/var-value-at-risk\/\",\"url\":\"https:\/\/www.vskills.in\/certification\/tutorial\/var-value-at-risk\/\",\"name\":\"VaR (Value at Risk) - Tutorial\",\"isPartOf\":{\"@id\":\"https:\/\/www.vskills.in\/certification\/tutorial\/#website\"},\"datePublished\":\"2021-02-27T08:31:50+00:00\",\"dateModified\":\"2024-04-12T09:01:24+00:00\",\"breadcrumb\":{\"@id\":\"https:\/\/www.vskills.in\/certification\/tutorial\/var-value-at-risk\/#breadcrumb\"},\"inLanguage\":\"en-US\",\"potentialAction\":[{\"@type\":\"ReadAction\",\"target\":[\"https:\/\/www.vskills.in\/certification\/tutorial\/var-value-at-risk\/\"]}]},{\"@type\":\"BreadcrumbList\",\"@id\":\"https:\/\/www.vskills.in\/certification\/tutorial\/var-value-at-risk\/#breadcrumb\",\"itemListElement\":[{\"@type\":\"ListItem\",\"position\":1,\"name\":\"Home\",\"item\":\"https:\/\/www.vskills.in\/certification\/tutorial\/\"},{\"@type\":\"ListItem\",\"position\":2,\"name\":\"VaR (Value at Risk)\"}]},{\"@type\":\"WebSite\",\"@id\":\"https:\/\/www.vskills.in\/certification\/tutorial\/#website\",\"url\":\"https:\/\/www.vskills.in\/certification\/tutorial\/\",\"name\":\"Tutorial\",\"description\":\"Vskills - A initiative in elearning and certification\",\"publisher\":{\"@id\":\"https:\/\/www.vskills.in\/certification\/tutorial\/#organization\"},\"potentialAction\":[{\"@type\":\"SearchAction\",\"target\":{\"@type\":\"EntryPoint\",\"urlTemplate\":\"https:\/\/www.vskills.in\/certification\/tutorial\/?s={search_term_string}\"},\"query-input\":{\"@type\":\"PropertyValueSpecification\",\"valueRequired\":true,\"valueName\":\"search_term_string\"}}],\"inLanguage\":\"en-US\"},{\"@type\":\"Organization\",\"@id\":\"https:\/\/www.vskills.in\/certification\/tutorial\/#organization\",\"name\":\"Vskills\",\"url\":\"https:\/\/www.vskills.in\/certification\/tutorial\/\",\"logo\":{\"@type\":\"ImageObject\",\"inLanguage\":\"en-US\",\"@id\":\"https:\/\/www.vskills.in\/certification\/tutorial\/#\/schema\/logo\/image\/\",\"url\":\"https:\/\/www.vskills.in\/certification\/tutorial\/wp-content\/uploads\/2017\/07\/vskills-min-logo.jpg\",\"contentUrl\":\"https:\/\/www.vskills.in\/certification\/tutorial\/wp-content\/uploads\/2017\/07\/vskills-min-logo.jpg\",\"width\":73,\"height\":55,\"caption\":\"Vskills\"},\"image\":{\"@id\":\"https:\/\/www.vskills.in\/certification\/tutorial\/#\/schema\/logo\/image\/\"},\"sameAs\":[\"https:\/\/www.facebook.com\/vskills.in\/\",\"https:\/\/x.com\/vskills_in\",\"https:\/\/www.linkedin.com\/company-beta\/1371554\/\",\"https:\/\/www.youtube.com\/channel\/UCMWnscxPwRF_PqXo9B7q_Tw\"]}]}<\/script>\n<!-- \/ Yoast SEO plugin. -->","yoast_head_json":{"title":"VaR (Value at Risk) - Tutorial","robots":{"index":"index","follow":"follow","max-snippet":"max-snippet:-1","max-image-preview":"max-image-preview:large","max-video-preview":"max-video-preview:-1"},"canonical":"https:\/\/www.vskills.in\/certification\/tutorial\/var-value-at-risk\/","og_locale":"en_US","og_type":"article","og_title":"VaR (Value at Risk) - Tutorial","og_description":"VaR (value at risk) was invented by JP Morgan in 1994 as a general risk management tool and has now become the industry standard for risk. It has become a popular and important risk measure primarily because of the Basel Committee, who standardise international banking regulations and practises. VaR lets an investor know in monetary...","og_url":"https:\/\/www.vskills.in\/certification\/tutorial\/var-value-at-risk\/","og_site_name":"Tutorial","article_publisher":"https:\/\/www.facebook.com\/vskills.in\/","article_modified_time":"2024-04-12T09:01:24+00:00","twitter_misc":{"Est. reading time":"1 minute"},"schema":{"@context":"https:\/\/schema.org","@graph":[{"@type":"WebPage","@id":"https:\/\/www.vskills.in\/certification\/tutorial\/var-value-at-risk\/","url":"https:\/\/www.vskills.in\/certification\/tutorial\/var-value-at-risk\/","name":"VaR (Value at Risk) - Tutorial","isPartOf":{"@id":"https:\/\/www.vskills.in\/certification\/tutorial\/#website"},"datePublished":"2021-02-27T08:31:50+00:00","dateModified":"2024-04-12T09:01:24+00:00","breadcrumb":{"@id":"https:\/\/www.vskills.in\/certification\/tutorial\/var-value-at-risk\/#breadcrumb"},"inLanguage":"en-US","potentialAction":[{"@type":"ReadAction","target":["https:\/\/www.vskills.in\/certification\/tutorial\/var-value-at-risk\/"]}]},{"@type":"BreadcrumbList","@id":"https:\/\/www.vskills.in\/certification\/tutorial\/var-value-at-risk\/#breadcrumb","itemListElement":[{"@type":"ListItem","position":1,"name":"Home","item":"https:\/\/www.vskills.in\/certification\/tutorial\/"},{"@type":"ListItem","position":2,"name":"VaR (Value at Risk)"}]},{"@type":"WebSite","@id":"https:\/\/www.vskills.in\/certification\/tutorial\/#website","url":"https:\/\/www.vskills.in\/certification\/tutorial\/","name":"Tutorial","description":"Vskills - A initiative in elearning and certification","publisher":{"@id":"https:\/\/www.vskills.in\/certification\/tutorial\/#organization"},"potentialAction":[{"@type":"SearchAction","target":{"@type":"EntryPoint","urlTemplate":"https:\/\/www.vskills.in\/certification\/tutorial\/?s={search_term_string}"},"query-input":{"@type":"PropertyValueSpecification","valueRequired":true,"valueName":"search_term_string"}}],"inLanguage":"en-US"},{"@type":"Organization","@id":"https:\/\/www.vskills.in\/certification\/tutorial\/#organization","name":"Vskills","url":"https:\/\/www.vskills.in\/certification\/tutorial\/","logo":{"@type":"ImageObject","inLanguage":"en-US","@id":"https:\/\/www.vskills.in\/certification\/tutorial\/#\/schema\/logo\/image\/","url":"https:\/\/www.vskills.in\/certification\/tutorial\/wp-content\/uploads\/2017\/07\/vskills-min-logo.jpg","contentUrl":"https:\/\/www.vskills.in\/certification\/tutorial\/wp-content\/uploads\/2017\/07\/vskills-min-logo.jpg","width":73,"height":55,"caption":"Vskills"},"image":{"@id":"https:\/\/www.vskills.in\/certification\/tutorial\/#\/schema\/logo\/image\/"},"sameAs":["https:\/\/www.facebook.com\/vskills.in\/","https:\/\/x.com\/vskills_in","https:\/\/www.linkedin.com\/company-beta\/1371554\/","https:\/\/www.youtube.com\/channel\/UCMWnscxPwRF_PqXo9B7q_Tw"]}]}},"_links":{"self":[{"href":"https:\/\/www.vskills.in\/certification\/tutorial\/wp-json\/wp\/v2\/pages\/111250","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.vskills.in\/certification\/tutorial\/wp-json\/wp\/v2\/pages"}],"about":[{"href":"https:\/\/www.vskills.in\/certification\/tutorial\/wp-json\/wp\/v2\/types\/page"}],"author":[{"embeddable":true,"href":"https:\/\/www.vskills.in\/certification\/tutorial\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/www.vskills.in\/certification\/tutorial\/wp-json\/wp\/v2\/comments?post=111250"}],"version-history":[{"count":3,"href":"https:\/\/www.vskills.in\/certification\/tutorial\/wp-json\/wp\/v2\/pages\/111250\/revisions"}],"predecessor-version":[{"id":131107,"href":"https:\/\/www.vskills.in\/certification\/tutorial\/wp-json\/wp\/v2\/pages\/111250\/revisions\/131107"}],"wp:attachment":[{"href":"https:\/\/www.vskills.in\/certification\/tutorial\/wp-json\/wp\/v2\/media?parent=111250"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.vskills.in\/certification\/tutorial\/wp-json\/wp\/v2\/categories?post=111250"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.vskills.in\/certification\/tutorial\/wp-json\/wp\/v2\/tags?post=111250"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}