METHODS OF ASSESSMENT OF FINANCIAL MARKETS. VAR (NUM. METHOD), DETERMINATION OF VAR

VAR is a measure of losses such that the loss in value of a portfolio over a certain period of time with a given probability does not exceed this value. The definition of VAR implies a knowledge of the distribution function of portfolio returns for a selected time interval. If the standard deviation as a measure of risk specifies a width of the density function of portfolio returns, the VAR determines the specific value of losses in the value of a portfolio corresponding to a given weight of tail distribution.