A risk measure that summarizes in a single number the overall risk (value at risk) in a portfolio of financial assets. This value is a function of two parameters: the time horizon (number of days) and the confidence level. As such, it is represented by the loss corresponding to relevant percentile of the distribution of the change in the value of the underlying portfolio over a respective period. If N and X denote the number of days in the period and the confidence level, respectively, then the percentile order is the (100-x)^th. So if N= 10 and X=99, value-at-risk (VaR) is the first percentile of the distribution of changes in the value of the underlying portfolio over the next ten days.

In spite of its popularity, VaR suffers a considerable weakness: it doesn’t produce consistent results across different return distributions. A more accurate measure that can overcome this shortcoming is known as the expected shortfall or (C-VaR).