VaR (Value at Risk)

A statistical estimate of the maximum expected loss over a period at a given confidence level.

Value at Risk estimates the worst loss a portfolio is likely to suffer over a set horizon at a stated confidence level — for example, a one-day 99% VaR of ₹1 crore means losses should exceed ₹1 crore on only ~1 day in 100. It is a cornerstone market-risk metric, central to the FRM syllabus.