Value at Risk (VaR)
An estimate of the maximum expected loss over a given horizon at a chosen confidence level, e.g. 95% or 99%.
Value at Risk summarises tail risk in a single number: the loss you should not exceed over a given period with a given probability. A one-day 95% VaR of 3% means that on 95% of days you would expect to lose no more than 3%.
VaR can be computed parametrically (assuming a return distribution) or historically (from the empirical distribution of past returns). endeavr.ai reports both parametric and historical VaR at the 95% and 99% levels, plus the related Conditional VaR (expected loss in the worst tail).