Calculation Definitions
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      3. Calculation Definitions

      Value at Risk

      Value at Risk can be measured multiple different ways on the platform.

      Modified Value at Risk adjusts the risk, measuring with the volatility only, with the skewness and kurtosis of the distribution of returns. On the statistics page you can see Modified VaR 99% and Modified VaR 95%.

      Historical Value at Risk is a measure for the risk of loss for investments. On the statistics page you can see Historical VaR 99% and Historical VaR 95%.

      Conditional Value at Risk is the expected return when the VaR is violated. On the statistics page you can see Conditional VaR 99% and Conditional VaR 95%.