Tail Risk Measures & Value at Risk

Value at Risk (Parametric VaR): The Value at Risk is the maximum loss that can be expected within a specified holding period with a specified confidence level. In the API the Value at Risk is expressed as a percentage loss. The VaR is returned as a positive percentage even though it represents a loss. The VaR calculation assumes a normal distribution of returns.

Value at Risk

Investors who are required to select and monitor investment managers should develop a basic understanding of investment statistics. Quantitative tools can provide you with good insight that you can use in your qualitative interviews with managers and when monitoring your investments.