Question 1

What does 95% VaR actually mean?

Accepted Answer

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.

Question 2

Why can VaR understate crypto risk?

Accepted Answer

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.

バリュー・アット・リスク (VaR) 計算ツール

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