Tag: montecarlo

Value at Risk in Portfolio Management

Value at Risk in Portfolio Management

Value at Risk measures the likelihood of losses to an asset or portfolio, over a defined period for a given confidence interval, due to market risk. Such a narrow definition of risk is further limited to the VaR focus on downside risk and potential losses in the short-term; indeed, VaR can be computed over a quarter or a year, but it is usually computed over a day, a week or a few weeks.

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