What does 95% VaR actually mean?

A 95% one-day VaR of $500 means that on a normal day you would not expect to lose more than $500, and that a loss beyond it should happen roughly one day in twenty. It is a threshold, not a maximum — the 5% of days that breach it can be much larger.

Why can VaR understate crypto risk?

This calculator uses the parametric (normal-distribution) method, which assumes returns are bell-shaped. Crypto has fat tails: flash crashes and liquidation cascades happen far more often than a normal curve predicts. So real losses breach VaR more frequently and by more than the model implies — always pair it with a hard stop.

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日次ボラティリティ (%)

信頼水準 (%)

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リスクにさらされる価値

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VaR は悪い日の最低値であり、最悪のケースではありません

この数字は通常の損失の限界を示しており、まれな損失がどれほど深刻であるかを示しています。ポジション規律と組み合わせて、各取引に上限を設けます。ポジションサイズ計算機そして圧力テストでの生存破滅のリスク計算機.

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VaR: the loss you won't exceed 95% of the time

95% one-day VaR answers: what's the worst loss I'll have on a typical bad day? If your daily portfolio return standard deviation is 3%, 95% VaR ≈ 1.645 × 3% = 4.9%. You'd expect to lose less than 4.9% on 95 of every 100 days. The other 5 days — the tail — can be worse, sometimes much worse.

BTC's historical daily volatility runs 3–6% in normal conditions, 8–15% during crisis months. At 4% daily vol, 99% VaR (the really bad days) is 2.33 × 4% = 9.3%. One day per 100 you'd expect to lose more than 9.3% — which in 2022 happened multiple times in a month.

VaR underestimates tail risk. It says nothing about how bad the worst 5% of days are. Conditional VaR (CVaR) or Expected Shortfall averages those tail losses. For leveraged crypto positions, CVaR is more honest — the 5% bad days tend to be correlated and clustered during market stress.

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