SVaR = Stressed Value at Risk

Stressed Value at Risk (SVaR) is a financial risk measure that estimates potential losses in a portfolio under extreme market conditions. It is designed to capture risks that may not be evident in normal Value at Risk (VaR) calculations by using historical periods of significant financial stress.

Usage:

• Used in Basel III regulations to determine capital requirements for banks.
• Helps assess risk exposure in volatile market conditions.
• Complements traditional VaR by incorporating worst-case historical scenarios.