Value-at-Risk (VaR)
The expected loss at a given confidence level over a given horizon.
Category: Risk Measures
What is Value-at-Risk (VaR)?
95% VaR of -$10k means: in 5% of similar weeks, losses exceeded $10k. Does not bound tail losses.
The expected loss at a given confidence level over a given horizon.
Category: Risk Measures
95% VaR of -$10k means: in 5% of similar weeks, losses exceeded $10k. Does not bound tail losses.