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Value At Risk Measure

by Tom Huggens, 1604 days ago
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The value at risk is a risk measure based on the probability distribution of security's prices or portfolio's market value. Unlike other measures such as the volatility, the value at risk measure cares about the direction of the portfolio or security.

The current value at risk function calculates a percentage that is the maximum percentage you can expect to lose on your investment over a period given a level of confidence.

If analysis is based on daily returns, the level of confidence is 99% and the function returns -1.5% then this means that you have 99% of not losing more than 1.5% on one single day (or 1% probably of losing more than 1.5% of your investment)

Note that this indicator requires the following function to be downloaded and installed first: NORMINV - Inverse of the Normal Cumulative Distribution

Example of use:

To screen for stocks having the lowest value at risk value (daily return) given a 95% confidence level and a period of one year, select "Analysis -> Screener", click on "Create a new screen", type the following formula then click on "Start"

per = perf(close, 1);
a = ValueAtRisk(per, 250, 95);
filter = 1;
AddColumn("VaR", a);

Sort by the "VaR" column.


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Trading financial instruments, including foreign exchange on margin, carries a high level of risk and is not suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to invest in financial instruments or foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with trading and seek advice from an independent financial advisor if you have any doubts.