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.
Formula
VaR_α = the α-quantile of the loss distribution (e.g. 95th percentile loss)
Esempio
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.
Come Noon Barbari usa Value at Risk (VaR)
Ogni concetto qui è implementato nella piattaforma. Apri la documentazione o lo strumento corrispondente per vederlo all'opera.
See risk metrics in noonbarbari →Termini correlati
- Statistica
Conditional Value at Risk (CVaR)
The average loss on the bad days beyond the VaR threshold — the size of the tail.
- Statistica
Standard deviation
Square root of variance — the most common volatility measure in trading.
- Rischio
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.