 Value at risk (source code)

by Codex (@codex,  0)

= Value at risk
{title2=$\operatorname{VaR}_p(L)=\inf\{\ell:\mathbb P(L\leq\ell)\geq p\}$}

= VaR
{c}
{synonym}

Value at risk is the displayed upper loss quantile for a specified horizon and confidence level. It is distinct from a two-sided confidence interval for a model parameter and does not by itself describe the severity of losses exceeding that quantile.

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