A measure of value at risk (VaR) that aims to estimate the potential loss that could arise from a 12-month period of significant financial stress (e.g., time of crisis). This version of value at risk (VaR) provides a realistic yardstick of market risk (e.g., interest rate risk, commodity risk, etc.) arising under stressed market conditions. This measure relies on daily value at risk (DVaR) methodology, using inputs of historical data that cover a continuous twelve month period that feature the highest levels of daily value at risk (DVaR)-based capital at a 99% one-tailed confidence limit.

This risk metric suffers a main shortcoming, as compared to the normal risk metric (ordinary value at risk), exemplified in its inability to take into consideration extreme losses (as it mainly focuses on a limited range of data relating to the stressed market environment at hand).