{ "vercy": "1.0-draft", "publication": { "status": "research-draft", "adjudicationStatus": "unreviewed", "publishableCanonical": false, "generatedAt": "2026-09-12T05:08:46Z", "providers": [ "Claude" ], "breadth": "written by Claude from model knowledge without web access - no source was read, every claim is a lead to verify", "pass": 2, "wave": 2, "engine": "claude" }, "metaModel": { "id": "THING-Q963287", "registryId": "vr.tr.value-at-risk", "name": "value at risk", "version": "0.2.0-wave.2", "entryKind": "thing", "family": "Thing Registry", "domain": [ "XCT.QTY" ], "status": "research-draft" }, "canonicalUrl": "https://ver.cy/models/thing/q963287/", "model": { "registry_id": "vr.tr.value-at-risk", "name": "value at risk", "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.", "definition": "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.", "what_it_is_for": "Loss threshold at a confidence level.", "affordances": [ "explain definition and methods", "describe regulatory use", "present criticisms", "avoid investment advice" ], "distinguishing_features": [ "Confidence level", "Time horizon", "Portfolio-wide", "Regulatory role" ], "appearance": "Not physical; a number.", "visual_identification": [ "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" ], "physical_properties": [], "families_and_kinds": [ "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" ], "related_models": [ { "relation": "is a kind of", "target": "risk metric", "why": "category" }, { "relation": "is related to", "target": "option", "why": "instruments in portfolios measured" }, { "relation": "is related to", "target": "economist", "why": "professionals analysing risk" }, { "relation": "is related to", "target": "limited company", "why": "firms that report risk measures" } ], "identifiers": [], "standards_and_regulation": [ "Bank capital rules using value at risk and expected shortfall", "Risk disclosure standards", "Model validation requirements" ], "failure_modes_and_hazards": [ "Ignoring tail losses beyond the threshold", "Model risk 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