It is expressed by the formula Prob (△P>VAR}=1-a. Thereinto, Prob represents that the loss of value of assets less than the probability of upper limit of possible loss;△P represents that the loss amount of value of certain financial asset during a certain holding period;VAR represents the VAR under given confidence level, namely, the possible upper limit of loss;a represents the given confidence level.% 用公式可表示为：Prob（△P>VAR}=1-a（其中Prob表示：资产价值损失小于可能损失上限的概率；△P表示：某一金融资产在一定持有期△t的价值失额；VAR表示：给定置信水平a下的在险价值，即可能的损失上限；a表示：给定的置信水平。）
展开▼
