Portfolio Positions
| Ticker | Shares | Last Price | Value | Weight |
|---|
Historical
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CVaR: —
Parametric
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CVaR: —
Monte Carlo
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CVaR: —
Return Distribution
VaR Sensitivity (Confidence Sweep)
Portfolio Summary
Total Value—
Positions0
Portfolio Vol (ann)—
Worst Historical Day—
Best Historical Day—
Skewness—
Kurtosis—
Risk Breakdown
Interpretation
Calculate to see analysis.
Methods
Historical: Sort actual returns, take the α-percentile loss. Non-parametric, captures fat tails.
Parametric: Assumes normal distribution: VaR = z_α × σ × √h. Fast but underestimates tail risk.
Monte Carlo: Simulate thousands of portfolio paths using actual return statistics. Best for multi-asset portfolios.
CVaR (Expected Shortfall): Average loss in the worst α% of scenarios. Always ≥ VaR. The true tail risk measure.
Parametric: Assumes normal distribution: VaR = z_α × σ × √h. Fast but underestimates tail risk.
Monte Carlo: Simulate thousands of portfolio paths using actual return statistics. Best for multi-asset portfolios.
CVaR (Expected Shortfall): Average loss in the worst α% of scenarios. Always ≥ VaR. The true tail risk measure.