The value at risk (var) of a security asset is the maximum loss that investors might suffer over a time horizon at a specified confidence level. For example, var0:05 with a 1-month time horizon is the negative of the 5th percentile of the distribution of monthly returns. var is widely used as a risk measure in the literature on investment funds (Liang and Park, 2007) because the distribution of returns often shows significant skewness, which is captured by asymmetric measures like var but not by symmetric measures like standard deviation (Markovitz, 1952). Note that investors can lose more than var: it gives little information on the.
