Portfolio Analytics
Value at Risk
Definition
What is Value at Risk?
An estimate of a loss threshold that should not be exceeded at a stated confidence level over a stated period, under model assumptions.
Example in practice
How This Looks in Practice
A one-day 95% VaR of ₦2 million means the model expects larger losses on about 5% of days.
Keep learning
Related Terms
Portfolio Analytics
Correlation
A statistic ranging from minus one to plus one that describes how two return series move together.
Portfolio AnalyticsPositive Correlation
A relationship in which two assets tend to move in the same direction.
Portfolio AnalyticsNegative Correlation
A relationship in which two assets tend to move in opposite directions.
Risk ManagementStress Test
An analysis of portfolio performance under severe but plausible scenarios.