Value at risk Var is generally understood to mean the maximum loss an investment could incur at a given confidence level over a specified time horizon. The concept of Var was introduced as innovation in risk measure and is a simpler riexposure of a commonly used metric risk exposure. It’s a likelihood of loss given a confidence interval:a.You specify an expected return from assets included in a specified portfoliob.You define a standard deviationc.You estimate the probability that the total portfolio would incur in a given loss for istance of 20% What about Var limits and substition and usefulness of Expected Shortfall?

- elisabeth26
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does anyone knows a methodology to calculate value at risk (var) on a CDS portfolioTks

very interesting thread ...a question to csparker .how does this work ; the idea of booking trades to reduce visible risks (VaR ) any examples .

"What is Value at Risk and how is it used"So far there has been a good discussion about what VaR is, but not much about how it is used. How should it be used? (Other than allocating trading limits among traders/teams, which has been mentioned). Increase exposure when VaR is low, decrease when high? (Looks to me like this has historically been a terrible idea) If not that, what else?