Live Risk
Value at Risk Dashboard
VaR, CVaR & Expected Shortfall — 4 estimation methods with Kupiec backtesting
Enter portfolio value and confidence level, then click Run Analysis.
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Portfolio Risk Summary — Parametric Normal
1-Day VaR (95%)
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$--
Parametric Normal
10-Day VaR (95%)
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$--
sqrt(10) scaled
Expected Shortfall
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$--
CVaR — tail mean loss
Backtest (Kupiec)
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-- exceptions
p-value: --
Method Comparison
| Method | 1-Day VaR % | 1-Day VaR $ | 10-Day VaR % | 10-Day VaR $ | ES % | ES $ |
|---|---|---|---|---|---|---|
| Run analysis to populate | ||||||
Backtesting — Kupiec POF & Basel Traffic Light
Run analysis to see backtesting results.
Risk Contribution by Position
1-Day VaR Contribution
Run analysis to see chart
| Position | Weight % | VaR 1D % | VaR 1D $ | Contribution % |
|---|---|---|---|---|
| Run analysis to populate | ||||
Model Inputs
Portfolio Value
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Confidence
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Port. mu (daily)
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Port. sigma (daily)
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Skewness
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Excess Kurtosis
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Positions
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