IM Coffee Chat - Session Twenty - So, You’re Not a Statistician: Value at Risk for Trustees

Date: June 16, 2021

Time: 10:30 a.m. - 11:00 a.m. ET

Contact: Elise Hoffer, 513.352.6748 -

A complimentary webinar presented by Thompson Hine LLP

Join us for a mid-morning break to chat about hot topics and trends relevant to your business. Our concise and practical discussions will focus on a variety of developments that impact financial service industries, and we’ll offer insights and considerations that will certainly be of interest to you.

Wednesday, June 16

10:30 – 11:00 a.m. ET

Session Twenty: So, You’re Not a Statistician: Value at Risk for Trustees and Other Mere Mortals

Value at Risk (VaR), the financial metric that estimates the probable loss of an investment, can be impacted by outer limits imposed on fund leverage risk and other considerations as laid out in the components of Rule 18f-4. Join us as our attorneys examine the key elements of VaR and the three chief methods of calculating potential loss that could occur in an investment portfolio.

Topics include:

  • Intuitive basis for VaR
  • ThreedimensionsofVaR: 
    • Time period considered
    • Probability of loss
    • Magnitude of loss
  • Rule 18f-4recognizesthreeVaR modeling methods:
    • Historical 
    • Parametric
    • Monte Carlo


*Practice temporarily authorized pending admission under Gov. Bar R. I, Sec.19.

Upcoming program in this series (you must register separately for each):

Contact Elise Hoffer