Value at Risk (VaR) is one of the widely used methods of measuring financial risks. VaR is a statistical technique used to measure and quantify the level of financial risk within a firm or investment portfolio over a specific time frame. It estimates how much a set of investments might lose, given normal market conditions, in a set time period. A loss which exceeds VaR threshold is known as ‘VaR break’. In it, the probability level is specified as 1 minus probability of a VaR Break. Normally VaR parameters are 1 per cent and 5 per centprobabilities and 1 day and 2 week horizons. While VaR represents loss, a negative VaR would indicate that a portfolio has a high probability for making profits.

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