Value-at-Risk (see also TailVaR) | Methods | IAIS | IAIS Supervisory Material | An estimate of the worst expected loss over a certain period of time at a given confidence level. | V |
Value-at-Risk (see also TailVaR) | Methods | International Actuarial Association | IAA - Acturial Aspects of ERM for Insurance Companies | The maximum loss that could occur with a specified probability over a given time horizon. | V |
Value-at-Risk (see also TailVaR) | Methods | International Risk Management Institute | IRMI Terms | The worst loss expected over a target horizon within a given confidence interval. | V |
Value-at-Risk (see also TailVaR) | Methods | The European Economic Area | CEA Solvency II | Value-at-risk is a quantile of a distribution and used as a (non-coherent) risk measure. | V |
Value-at-Risk (see also TailVaR) | Methods | The European Economic Area | Solvency II | The term is mentioned in the Directive, but has not been defined explicitly. Article 104.4 says: Each of the risk modules referred to in paragraph 1 shall be calibrated using a Value-at-Risk measure, with a 99,5 % confidence level, over a one-year period. | V |
Value-at-Risk (see also TailVaR) | Methods | United States | NAIC ORSA MANUAL | An estimate of the maximum loss over a certain period of time at a given confidence level. | V |