It stands for parametric value at risk (parametric VaR); a value at risk (VaR) measure/ method that only uses two main variables or parameters as inputs: the mean and standard deviation of a portfolio. Additionally, the principal assumption that underlies calculation is that the portfolio’s returns are normally distributed (that is, follow normal distribution). The calculated standard deviation is used to derive a standard normal z score to size up the position with a confidence degree/ confidence level (according to a pre-determined table).

PVaR may also denote other risk measures: period value at risk (period VaR) and project value at risk (project VaR).