Value at Risk

Definition

Value at Risk（VaR）量化了在特定置信水準下投資組合的最大潛在損失。該VaR值使用方差-協方差法在95%置信水準下計算。其他可能的方法包括歷史模擬法和蒙特卡洛法。

Formula

$\text{VaR} = -\mu_p + z \cdot \sigma_p$

where $\mu_p$ is the expected portfolio return, $\sigma_p$ is the portfolio standard deviation, and $z$ is the z-score corresponding to the desired confidence level.