Value at Risk approach means a measure of the maximum expected loss at a given confidence level over the specific time period.
Value at Risk means the statisticalestimate representing the maximum amount by which the market value of covered market risk assets could decline during a specificperiod for a stated level of statistical confidence.
Examples of Value at Risk in a sentence
Average Value at Risk 12 months for positions in the Financial Products division of the Investment Banking business unit.
To calculate the global exposure of the CIS under its management, the management company shall use either the commitment approach or the Value at Risk (VaR) approach specified in an AMF instruction.
For the determination of the global exposure, this Sub-Fund uses the VaR (Value at Risk) methodology, measured with the relative VaR (Value at Risk) approach.
The sub-fund uses absolute methodology to measure Value at Risk (VaR).
In accordance with CSSF Circular 11/512, reference portfolio must be disclosed for Subfunds for which the Global Risk Exposure is calculated using the Relative Value at Risk Approach.
More Definitions of Value at Risk
Value at Risk approach means a measure of the maximum expected loss at a given confidence level over the specific time period. Under the absolute VaR approach, global exposure should not exceed a percentage limit determined by reference to the value of the scheme property of the Fund. Under the relative VaR approach, global exposure should not exceed a limit calculated against the value of a reference portfolio.
Value at Risk means the Potential Exposure related to a Commodity Group or Position calculated using the Enron Corp. adopted VAR VaR methodology at the 95% confidence interval using a 1-day time horizon. Any recalibration or modification of the VAR VaR methodology or parameters that take into account observed or anticipated changes in market factors or developments in VAR VaR technologies must be approved by the Enron Corp. Chief Risk Officer or his designee(s). Commodity Group TRADING PORTFOLIO Discretionary VaR North American Natural Gas Global Products North American Electricity Metals & Minerals Coal & Freight Pulp & Paper Weather Derivatives Emission Allowances * European Natural Gas * UK Electricity Nordic Electricity Continental Electricity Australian Electricity Japanese Electricity Southern Cone Natural Gas Southern Cone Electricity Financial Instruments Interest Rate Foreign Currency Equity Trading Debt Trading Enron Broadband Services Enron Energy Services MERCHANT PORTFOLIO CAPITAL PORTFOLIO
Value at Risk means a measure of a maximum expected loss of a portfolio at a given confidence level over a specified time period.
Value at Risk means a measure of the potential change in value that the Portfolio may experience during a period. It is usually expressed as a percentage, which is referred to as a “confidence level”.
Value at Risk has the meaning given in paragraph 2.4. has the meaning given in paragraph 2.2. Formatted: Font: Not Bold Deleted: of the Agreement Deleted: there.
Value at Risk means, as of any date of determination, a statistical estimate of the amount a Person risks losing over a specified period of time due to changes in market price, determined pursuant to a statistical model and using assumptions reasonably acceptable to the Agents.
Value at Risk means the Potential Exposure related to a Commodity Group or Position calculated using the Midwest Energy Hub, LLC. adopted VaR methodology at the 95% confidence interval using a 1-day time horizon. Any recalibration or modification of the VAR methodology or parameters that take into account observed or anticipated changes in market factors or developments in VAR technologies must be approved by the MEH Risk Management Committee or his designee.