In the early 1990s, J.P. Morgan's chairman Dennis Weatherstone reportedly asked his risk team for a single number summarizing how much the firm could lose on any given day.

The internal product that resulted — RiskMetrics, released as a public technical methodology in October 1994 — was a daily firm-wide risk report estimating a one-day loss threshold at high confidence level, summarized in a table that arrived on Weatherstone's desk by 4:15 PM each afternoon. The 4:15 report became a small landmark in financial risk management: it forced the entire firm's positions through a single statistical machine and produced one summary number that the chairman could read in five seconds. The Value-at-Risk (VaR) framework that emerged from this work became the dominant institutional risk-reporting standard of the 1990s and 2000s, was adopted by the Basel Committee for bank regulatory capital requirements (Basel II 2004; pre-existing 1996 amendment to Basel I introduced VaR for market-risk capital), and survived through the 2008 financial crisis despite spectacular failures of the modeled VaR numbers during stress events.