Value-at-Risk ·
The Loss Quantile
un
seel
.com · 1-day 99% VaR · RiskMetrics 1994 · Basel III
99% VaR
—
ES (97.5%)
—
Stage
return distribution
Daily-return bar (P&L bin)
99% VaR cutoff line
Loss tail (worst 1% of days)
Expected Shortfall — mean of the tail
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Un
seel
.com · Value-at-Risk