Value at Risk: Meaning, Calculation and Holding-Period Scaling

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Value at Risk: Meaning, Calculation and Holding-Period Scaling - Article

Value at Risk (VaR) expresses market risk as a single monetary loss estimate for a specified **portfolio, confidence level, and holding period**. This article explains VaR interpretation, parametric calculation, confidence-level effects, volatility conversion, portfolio diversification, and square-root-of-time holding-period scaling. It also clarifies the assumptions and limitations that CAIIB learners must recognise before applying VaR numerically.

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