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.
Formule
VaR_α = the α-quantile of the loss distribution (e.g. 95th percentile loss)
Exemple
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.
Comment Noon Barbari utilise Value at Risk (VaR)
Chaque concept ici est implémenté dans la plateforme. Ouvre la documentation ou l'outil concerné pour le voir en action.
See risk metrics in noonbarbari →Termes liés
- Statistiques
Conditional Value at Risk (CVaR)
The average loss on the bad days beyond the VaR threshold — the size of the tail.
- Statistiques
Standard deviation
Square root of variance — the most common volatility measure in trading.
- Risque
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.