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Risk Analytics
Value at risk estimates a loss threshold at a specified horizon and confidence level.
Your starting point
Markets, Investments and Risk
What does a ₹1 lakh one-day VaR actually promise? A 95% one-day VaR of ₹100,000 means that under the modeled distribution, about 5% of days exceed that loss threshold for continuous losses. Expected shortfall describes average severity in the tail.
Value at riskFoundation · Quick, Deep, ApplyBacktest a VaR modelIntermediate · Quick, Deep, ApplyPrerequisite · Expected valueUse the linked prerequisite and related topics to build your path.