Value at Risk summarises downside in one number: at a chosen confidence (commonly 95% or 99%) and horizon (a day, a week), VaR is the loss your portfolio is not expected to exceed. A 1-day 95% VaR of 4% means that on 95 of 100 days, losses should stay under 4%.
VaR is intuitive but has a blind spot — it says nothing about how bad the other 5% of days get. That tail is exactly what Conditional VaR (CVaR) addresses, which is why the two are usually read together.
Formel
VaR_α = the α-quantile of the loss distribution (e.g. 95th percentile loss)
Beispiel
A strategy's 95% daily VaR is 3% — so a 7% down day is one of the rare tail events VaR explicitly does not bound.
Wie Noon Barbari Value at Risk (VaR) nutzt
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See risk metrics in noonbarbari →Verwandte Begriffe
- Statistik
Conditional Value at Risk (CVaR)
The average loss on the bad days beyond the VaR threshold — the size of the tail.
- Statistik
Standard deviation
Square root of variance — the most common volatility measure in trading.
- Risiko
Maximum drawdown
The deepest peak-to-trough decline observed across the entire equity curve.
- Backtesting
Monte Carlo Simulation
Resampling trade outcomes many times to get a distribution of results instead of one number.