Value at Risk

VaR is a risk management algorithm that measures the worst expected loss over a specified period under the expected market conditions.

Value at Risk

At a hight level:

VaR is a risk management algorithm that measures the worst expected loss over a specified period under the expected market conditions. The VaR is measured using 'confidence levels' that lie in two to three standard deviations from the mean in a gaussian distribution.

One Standard deviation is the standard measure of volatili…