The loss that a portfolio is not expected to exceed over a stated horizon at a stated confidence level. At 99% over one day, it is the loss that should be breached on about one day in a hundred. Where it appears →
Variance
The average squared deviation from the mean, measuring how widely outcomes are spread. For independent variables the variances add. Where it appears →
Variation margin
Cash or collateral passed each day to reflect the change in a contract's value. It settles gains and losses as they occur. Where it appears →
Vega
The change in an option's value for a one point change in volatility. Long options have positive vega. Where it appears →
Volatility
The standard deviation of returns, usually quoted per year. It rises with the square root of time when returns are independent. Where it appears →
Volatility clustering
The tendency for large price moves to follow large moves and small to follow small. It is why constant-volatility models fit poorly. Where it appears →
Volcker Rule
A US rule that restricts banks from proprietary trading and from owning certain funds. Market making and hedging are allowed. Where it appears →
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