VALUE AT RISK (VAR)
VALUE AT RISK (VAR)
Value-at-Risk at X% (VaR X%) measures risk for a given X% confidence level. Thus, 95% VaR means that 95% of scenarios will have a Net Present Value (NPV) less than or equal to that corresponding to 95% VaR.
Value-at-Risk at X% (VaR X%) measures risk for a given X% confidence level. Thus, 95% VaR means that 95% of scenarios will have a Net Present Value (NPV) less than or equal to that corresponding to 95% VaR.