{"schema":"https://ver.cy/schemas/card/1.0.0","id":"vr.tr.value-at-risk","code":"thing-q963287","url":"https://ver.cy/models/thing/q963287/","name":"value at risk","alternateNames":[],"kind":"thing","status":"research-draft","version":"0.2.0-wave.2","language":"en","classifiers":{"family":"Thing Registry","category":"","entryKind":"","plane":"","domain":["XCT.QTY"],"industry":[],"navPath":"","tags":[],"facets":{}},"whatItIs":"A statistical measure of the potential loss in value of a portfolio or position over a given time horizon at a given confidence level, stating for example the loss that is not expected to be exceeded on ninety-nine days out of a hundred, computed by historical simulation, parametric or Monte Carlo methods, used by banks, asset managers and regulators for risk management and capital requirements, and criticised for ignoring the size of losses beyond the threshold; value at risk is described here without investment advice.","purpose":"Let an agent explain value at risk and its definition, calculation methods and limitations, describe its use in regulation and risk management, present criticisms with attribution, and avoid personal investment advice.","scope":{"in":[],"out":[],"boundaries":[]},"distinguishingFeatures":["Confidence level","Time horizon","Portfolio-wide","Regulatory role"],"structure":{"bundles":[{"id":"understand","name":"Understand","description":"What value at risk is.","layers":[{"id":"concept","name":"Concept","description":"Concept.","findings":[{"id":"concept-finding","name":"Concept","description":"Concept.","questions":[{"text":"What does value at risk state, and how do confidence level and time horizon define it?","kind":"definition"},{"text":"Is the user seeking personal investment advice, which must be declined?","kind":"boundary"}]}]},{"id":"methods","name":"Methods","description":"Calculation methods.","findings":[{"id":"methods-finding","name":"Methods","description":"Methods.","questions":[{"text":"How do historical simulation, parametric and Monte Carlo methods compute value at risk?","kind":"definition"},{"text":"Which entry fits a specific method?","kind":"action"}]}]}]},{"id":"use","name":"Use","description":"Use in practice.","layers":[{"id":"management","name":"Management","description":"Risk management.","findings":[{"id":"management-finding","name":"Management","description":"Management.","questions":[{"text":"How do banks and asset managers use value at risk in limits, reporting and capital?","kind":"provenance"},{"text":"Which entry fits risk management?","kind":"action"}]}]},{"id":"regulation","name":"Regulation","description":"Regulation.","findings":[{"id":"regulation-finding","name":"Regulation","description":"Regulation.","questions":[{"text":"How have bank capital rules used value at risk, and why did regulators move toward expected shortfall?","kind":"provenance"},{"text":"Which entry fits banking regulation?","kind":"action"}]}]}]},{"id":"critique","name":"Critique","description":"Limitations.","layers":[{"id":"limits","name":"Limits","description":"Limitations.","findings":[{"id":"limits-finding","name":"Limits","description":"Limitations.","questions":[{"text":"What are the limitations of value at risk, including tail risk and model assumptions, with critiques attributed?","kind":"provenance"},{"text":"Is the presentation balanced?","kind":"boundary"}]}]},{"id":"alternatives","name":"Alternatives","description":"Alternatives.","findings":[{"id":"alternatives-finding","name":"Alternatives","description":"Alternatives.","questions":[{"text":"How do expected shortfall and stress testing complement or replace value at risk?","kind":"provenance"},{"text":"Which entry fits expected shortfall?","kind":"action"}]}]}]},{"id":"learn","name":"Learn","description":"History and teaching.","layers":[{"id":"history","name":"History","description":"History.","findings":[{"id":"history-finding","name":"History","description":"History.","questions":[{"text":"How did value at risk develop in the 1990s, and what role did it play in financial crises, according to analysts?","kind":"provenance"},{"text":"Which references are standard?","kind":"provenance"}]}]},{"id":"teach","name":"Teach","description":"Teaching.","findings":[{"id":"teach-finding","name":"Teach","description":"Teaching.","questions":[{"text":"How can value at risk be taught in finance courses?","kind":"action"},{"text":"Which misconceptions arise?","kind":"provenance"}]}]}]}]},"agentConduct":{"may":["explain definition and methods","describe regulatory use","present criticisms","avoid investment advice"],"mustNot":[],"requiresHuman":[]},"ethics":{"considerations":[],"affectedParties":[]},"owners":{"steward":"","roles":[],"masterSystems":[]},"relations":[{"target":"risk metric","type":"related","note":"category"},{"target":"option","type":"related","note":"instruments in portfolios measured"},{"target":"economist","type":"related","note":"professionals analysing risk"},{"target":"limited company","type":"related","note":"firms that report risk measures"}],"interaction":{"identity":{"applicability":"required","items":[]},"properties":{"applicability":"not-applicable","items":[]},"recognition":{"applicability":"optional","items":["Loss not expected to be exceeded at a confidence level over a horizon","Historical, parametric, Monte Carlo methods","Expected shortfall measures average loss beyond the threshold; volatility measures dispersion","Not physical; a number."]},"capabilities":{"applicability":"required","items":["explain definition and methods","describe regulatory use","present criticisms","avoid investment advice"]},"hazards":{"applicability":"required","items":["Ignoring tail losses beyond the threshold","Model risk from poor assumptions","Agents giving personal investment advice"]},"interfaces":{"applicability":"required","items":["Bank capital rules using value at risk and expected shortfall","Risk disclosure standards","Model validation requirements"]},"context":{"applicability":"required","items":["Loss threshold at a confidence level.","historical simulation value at risk","parametric value at risk","Monte Carlo value at risk","conditional value at risk and expected shortfall","regulatory value at risk measures"]}},"sources":[],"openQuestions":["Should expected shortfall be a separate entry?","How should regulatory texts be linked?","How should model methods be documented?","Which entry fits a specific method?","Which entry fits risk management?","Which entry fits banking regulation?"],"resources":{"spec":"/models/things/publications/thing-q963287/spec.json"},"provenance":{"origin":"thing registry research (pass 2)","builtFrom":["models/things/publications/thing-q963287/spec.json"],"providers":["Claude"],"researchStatus":"unreviewed","generatedAt":"2026-09-12T05:08:46Z","builder":"tools/build_cards.py@1.0.0"},"completeness":{"sections":{"classifiers":"filled","whatItIs":"filled","purpose":"filled","distinguishingFeatures":"filled","structure":"filled","agentConduct":"derived","ethics":"missing","owners":"missing","relations":"filled","interaction.identity":"missing","interaction.properties":"not-applicable","interaction.recognition":"filled","interaction.capabilities":"filled","interaction.hazards":"filled","interaction.interfaces":"filled","interaction.context":"filled","sources":"missing"},"notes":{"agentConduct":"Affordances listed as what may be done; prohibitions collected from the text.","interaction.properties":"Plane XCT: no invented physical properties.","sources":"Written from model knowledge without web access; claims are unverified."},"score":0.719}}