All firms with financial positions, whether for investment or hedging purposes are now required to fully disclose the potential implications and the risk factors inherent with their trades or hedges. Such disclosure requires not only fair value analysis but also Value at Risk and Scenario capability.

VaR or “Value at Risk” provides an estimate of how much value can be lost, by a portfolio over a time horizon, subject to a specific confidence interval. VaR has become a preferred risk measure for investors, management and securities regulators.