The VaR approach is a measure of the maximum potential loss due to the market risk, rather than leverage, taking into the account given confidence level (probability) and specific time period.

Other UCITS related terms

• VaR approach
• Unsystematic Risk
• Undertakings for the Collective Investment of Transferable Securities (UCITS)
• Systematic Risk
• SRRI (Synthetic Risk & Reward Indicator)
• Relative VaR (UCITS)
• MiFID
• Master Feeder structures
• Management Company Passport
• KIID
• Global Exposure
• Expected Shortfall (or Conditional VaR or CVar)
• Event Risk
• ESMA
• DV01
• CSSF
• Counterparty Risk
• Contribution to Potential Upside (or Component Potential Gain)
• Commitment Approach
• Calmar ratio
• Back Testing
• Annex IV Reporting
• AIFMD
• Absolute VaR