Page 174 - PRIAA Glossary

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VALUATION AGENT
The party which values a derivative transaction or portfolio of derivatives transactions. The valuation agent can be either one of the parties to the transaction, or an independent third party. Also known as the “calculation agent”.
VALUATION DATE
A date on which an asset is valued or a collateral call is made.
VALUATION PERCENTAGE
The percentage by which the market value of the collateral will be reduced to allow for price volatility and instrument liquidity in respect of the relevant collateral between collateral calls. Also known as a “haircut”.
VALUE-AT-RISK (VAR)
A risk measure used to calculate the maximum loss a financial instrument, or portfolio, is expected to suffer
over a defined period with a specific confidence level. For example, a 95% 10-day VaR of $5 million means that, with 95% confidence (i.e., 95 times out of 100), the portfolio will not lose more than $5 million over a 10-day period, assuming that the portfolio composition remains the same.
VANILLA (FLOW/MARKET STANDARD)
A derivative transaction which has a very basic structure, likely to be the most commonly traded in the relevant market.
VARIANCE
A measure of volatility or risk which determines the risk in purchasing a specific security. Variance is the square of the standard deviation.
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