BTC/USD Risk Profile

Value at Risk

We use the historical simulation methodology to estimate Value at Risk for cryptocurrency risks in an intuitive and defendable manner. Our lookback window is a rolling 365 days.

1-Day 99% VAR: Upgrade to Access
1-Day 95% VAR: Upgrade to Access

Definition: Value at Risk estimates the loss estimated beyond a statistical threshold. More details on understanding VAR here and here.

Available for Plus+ Members
The risk profile for BTC/USD is free and available here
Estimate $ Value Loss

BTC/USD Owned: 1.000

Daily VAR 99% Level: Upgrade to Access
Daily VAR 95% Level: Upgrade to Access
Daily ES 99% Level: Upgrade to Access
Daily ES 95% Level: Upgrade to Access

Expected Shortfall

Expected Shortfall is an extension of Value at Risk in the sense that it estimates the answer to this question: "What is my estimated loss for when a loss occurs greater than the 99% statistical threshold of Value at Risk?"

1-Day 99% ES: Upgrade to Access
1-Day 95% ES: Upgrade to Access

Definition: The estimated size of the loss in the left tail of the distribution when the loss exceeds the Value at Risk (VAR) metric.

Stress Scenarios

Historical stress scenarios are recorded at both a macro and idiosynchratic level. We track both historical cryptocurrency specific stress events and events that occur across all financial markets. Please note that at an individual stress level, we only include events under "stress" that have a negative impact for long positions. Please refer to our stress event catelog to view risk events that have both a positive and negative effect. Positive %+ changes are stress events for a Short Futures position.

Risk Disclaimer

Cryptocurrency assets involve numerous risks that may not be suitable for your financial needs or risk appetite. All metrics shown above are estimations and may not reflect true performance. Risk of 100% ruin is always possible.