Value at Risk
Estimates a loss threshold exceeded with a specified probability under the chosen model.
Formula
Variables: Loss distribution; confidence level; horizon
What it means
Estimates a loss threshold exceeded with a specified probability under the chosen model.
Example
A one-day 99% VaR of 1m means the model places 1% of days beyond a 1m loss threshold; it is not a maximum loss.
How to interpret it
This concept should be read together with its market convention, measurement horizon and underlying instrument. BondStats presents it as an analytical reference rather than investment advice; instrument documentation and primary market rules remain authoritative.
Related Formulas
BondStats reference content is independently written. Mathematical relationships, abbreviations and market conventions are presented for educational and analytical use.