Value at Risk (VaR) 95% aur 99%: practical guide

VaR 95% aur 99% kya batata hai

Value at Risk ek loss threshold estimate karta hai jo selected confidence level par chosen horizon me normally cross nahi hona chahiye.

$VaR_c = -Q_{1-c}(R)$

Quick example

Agar daily VaR 95% 2.1% aur VaR 99% 3.4% hai, portfolio value 100,000 par:

• VaR 95%: lagbhag 2,100
• VaR 99%: lagbhag 3,400

Historical vs parametric VaR

• Historical VaR: actual return quantiles se nikalta hai.
• Parametric VaR: mean aur volatility par distribution assumption ke saath based hota hai.

Historical method real data behavior ko better reflect kar sakta hai; parametric method fast scenario analysis ke liye useful hai.

Limits

VaR yeh nahi batata ki threshold ke baad average loss kitna hoga. Extreme tail events bhi underestimate ho sakte hain. Isliye drawdown aur CVaR ke saath combine karein.

Next step

• Risk profile Wallible app me review karein
• Portfolio backtesting me allocations compare karein
• Related guides padhein: Recovery Factor aur Maximum Drawdown