Value at risk

The value at risk (VaR) provides information on the highest possible loss of a risk option (for example,  portfolio of securities) which will not be exceeded with a given probability during a specific period of time. For example, the investor XY assumes that a daily loss of CHF 1,000 will not be exceeded with a probability of 95%. The VaR does not indicate how much higher the loss could be in the remaining 5%.