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Market Risk

Risk of loss arising from movements in market prices

Value-at-risk (VaR) and expected shortfall (ES) are important measures of financial risk. VaR is an estimate of how much value a portfolio can lose in a given time period with a given confidence level. ES is the expected loss on days when there is a VaR failure. VaR and ES backtesting tools assess the accuracy of VaR and ES models.


  • VaR Backtest
    Create a VaR (value-at-risk) backtest model and run suite of VaR backtests
  • Expected Shortfall Backtest
    Create an expected shortfall (ES) backtest model and run suite of ES backtests