(2) Value at risk (VaR) is a technique which uses the statistical analysis of market returns, correlations and volatilities to estimate the likelihood that a given portfolio’s losses will exceed a certain amount under usual circumstances. The Amlin model uses market data from Watson Wyatt Investment Consulting. The model calculates the VaR over a 12 month period at different confidence levels. The confidence level is the degree of assurance that a specific loss is not exceeded. A 99% confidence level (VaR99) is used to set the strategic benchmarks, which means that the loss should only be exceeded once in a hundred years, in normal market conditions.