VaR (Value at Risk)

Risk Metrics

A statistical estimate of the maximum loss expected over a given time horizon at a specified confidence level. For example, a 95% one-day VaR of $100,000 means there is only a 5% chance of losing more than $100,000 in a single day. VaR is widely used in risk management by financial institutions, though it has limitations: it does not measure the severity of losses beyond the confidence threshold and assumes historical patterns continue.

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Bear MarketBetaBull MarketCalmar RatioCorrelationDrawdownMaximum DrawdownSharpe RatioSortino RatioSystematic RiskVolatility

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VaR (Value at Risk) | Blackworks Capital