Historical VAR

Historical VaR quantifies the potential downside risk of an investment or portfolio by analyzing past market movements. It calculates the worst-case loss that could be experienced with a given probability or confidence level. For example, a portfolio has a 5% one-day Historical VaR of $100,000. This means that based on historical data and assuming normal market conditions, there is a 5% chance that the portfolio's loss will exceed $100,000 within a single trading day.

Investment Management