Value-at-risk model (VaR)


Procedure for estimating the probability of portfolio losses exceeding some specified proportion based on a statistical analysis of historical market price trends, correlations, and volatilities.

Investing Essentials

Copyright © 2011 Campbell R. Harvey, Professor of Finance, Fuqua School of Business at Duke University

Term of the Day

Fast market

Excessively rapid trading in a specific security that causes a delay in the electronic updating of its last sale and market conditions, particularly in options.

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