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VaR

VaR is one of the key measurements used by market risk to monitor a bank's trading book. 

It is usually defined as the percentile of the loss distribution from a ptf over a fixed period of time. 

Example: VaR of $1M --> 99% chance it will not lose more than that in the next trading day. 

 

There are many ways to calculate VaR --> most common is via historical simulation. 

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