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Value-at-risk (‘VAR’)

Value-at-risk (‘VAR’) :

For a given portfolio, value-at-risk measures the potential future loss (in terms of market value) that, under normal market conditions, will not be
exceeded, with a defined confidence level in a defined period. The value-at-risk for a total portfolio represents a measure of diversified market risk (aggregated using pre-determined correlations) in that portfolio. Banks calculate value-at-risk for both internal and regulatory reporting using a 99% confidence level.

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