VaR Analysis
# VaR Analysis
VaR Analysis is Rival Risk’s Value-at-Risk scenario builder. Configure confidence and horizon, select accounts and products, run a calculation, then review VaR results and distribution statistics.
Open it from the sidebar: VaR Analysis.
Browser title: Rival Risk - VaR Analysis.
Related articles: [Navigation](#) · [Market Risk Overview](#) · [Run Scenarios](#) · [Working with Grids](#)
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## What VaR Analysis does
Use this page to estimate potential loss over a chosen time horizon at a chosen confidence level, for the accounts and products you select.
Typical uses:
- Firm-wide or desk VaR snapshot
- Compare VaR by account or by product
- Inspect the P&L distribution (histogram and stats) behind a VaR number
- Download detail output for offline review
> Screenshot: Full VaR Analysis page (parameters, results, histogram).
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## Page layout
The page has three main columns:
| Area | Contents |
|---|---|
| Left | Calculation Parameters, Account(s) tree, Product(s) tree |
| Middle | VaR Results table and Download |
| Right | Histogram chart and distribution stats |
Collapse or expand the left panels by clicking each section header.
Confirm the sidebar connection status is Connected, and wait until the account/product trees finish loading before calculating.
> Screenshot: Annotated three-column layout.
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## Calculation parameters
Open Calculation Parameters (expanded by default).
| Setting | Description |
|---|---|
| Confidence | Confidence level in percent (1–99). Default is 95. Supports two decimal places (for example 95.25). |
| Days | Horizon in days (minimum 1). Default is 1. |
| Group By | How results are split (see below). |
| Start of Day | When checked, calculation uses start-of-day treatment. |
### Group By options
| Option | Result rows |
|---|---|
| Single VaR for all | One result for the combined selection (**ALL Selected**) |
| One VaR / Account | One VaR row per selected account |
| One VaR / Product | One VaR row per selected product |
> Screenshot: Calculation Parameters with Confidence, Days, Group By, Start of Day.
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## Select accounts and products
### Account(s)
1. Expand Account(s).
2. Browse the account tree (expand nodes as needed).
3. Check the accounts to include.
### Product(s)
1. Expand Product(s).
2. Browse the product tree.
3. Check the products to include.
Tree selections sync with the server as you change them. If trees are still loading, wait before clicking Calculate VaR.
> Tip: For Single VaR for all, select the full account/product universe you want in the aggregate. For per-account or per-product grouping, select every node you want as its own result row.
> Screenshot: Account(s) and Product(s) trees with selections.
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## Run a calculation
1. Set Confidence, Days, Group By, and Start of Day.
2. Select Account(s) and Product(s).
3. Click Calculate VaR.
4. While running:
- Calculate VaR is disabled
- Cancel appears
- Status shows Calculating... (Request ID: …)
- Result rows show calculating... until values arrive
5. When finished, VaR values fill in and Calculate becomes available again.
### Cancel
Click Cancel to stop the in-flight request (uses the current request ID).
> Screenshot: Calculating state with Cancel and request ID.
> Screenshot: VaR Results filled after completion.
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## VaR Results
The middle column lists:
| Column | Meaning |
|---|---|
| Group | Aggregate (**ALL Selected**) or account/product name |
| VaR Value | Calculated VaR (or calculating...) |
Empty state:
> No results yet. Click "Calculate VaR" to run a calculation.
### Inspect a result
When a row status is done:
1. Click the row (or the VaR value) to load that group’s histogram and stats.
2. The selected row is highlighted.
3. The right panel title updates to Histogram: <group name>.
If histogram data is not cached yet, the page requests it for that group from the last calculation.
> Screenshot: VaR Results with one row selected.
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## Histogram and statistics
The right column shows the distribution for the selected result group.
### Chart
- Title: Histogram or Histogram: <group>
- Bar chart of the scenario / P&L distribution returned for that group
### Stats table
When histogram data is available:
| Stat | Label in UI |
|---|---|
| Sample count | Samples |
| Standard deviation | St Dev |
| Kurtosis | Kurt |
| Mean absolute deviation | Mean Abs Dev |
| Skewness | Skew |
| Tail loss | Tail Loss |
Use these to understand shape and tail behavior behind the single VaR number.
> Screenshot: Histogram chart with stats (Samples, St Dev, Kurt, Mean Abs Dev, Skew, Tail Loss).
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## Download details
After a successful calculation:
1. Select the result row you care about (recommended).
2. Click Download in the VaR Results header (**Download VaR Details**).
3. Save the exported file (typically a VaR details CSV).
Download is available when there is a completed request and at least one result row.
> Screenshot: Download button in the VaR Results header.
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## Practical workflows
### Firm snapshot (single VaR)
1. Confidence 95, Days 1.
2. Group By = Single VaR for all.
3. Select the accounts/products that define the firm (or desk) book.
4. Calculate VaR.
5. Click the ALL Selected result to view the histogram.
6. Download if you need a file for the risk pack.
### Rank accounts by VaR
1. Group By = One VaR / Account.
2. Select the accounts to compare.
3. Calculate VaR.
4. Sort visually by VaR Value; click high outliers for histogram detail.
### Product concentration
1. Group By = One VaR / Product.
2. Select the product set of interest.
3. Calculate VaR.
4. Inspect products with the largest VaR; review Tail Loss on the histogram stats.
### Longer horizon
1. Increase Days (for example 5 or 10).
2. Keep confidence and selections otherwise unchanged.
3. Recalculate and compare to the 1-day run (run sequentially; note values externally if comparing).
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## Troubleshooting
| Symptom | What to try |
|---|---|
| “Please wait for trees to load…” | Wait until Account(s) / Product(s) finish loading, then calculate |
| Calculate does nothing / stays disabled | A run may still be in progress — wait or Cancel |
| Results stuck on calculating... | Check connection; Cancel and recalculate; confirm accounts/products are selected |
| No results yet message | You haven’t completed a Calculate yet |
| Histogram empty after click | Wait for data; click the row again after the run fully completes |
| Download missing | Complete a calculation first (need a request ID and result rows) |
| Unexpected grouping | Confirm Group By matches Single / Account / Product |
| Confidence rejected / snaps | Keep Confidence between 1 and 99 |
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## Quick reference
| I want to… | Do this |
|---|---|
| Open VaR | Sidebar → VaR Analysis |
| Set confidence / horizon | Calculation Parameters → Confidence, Days |
| Split results | Group By → Single / Account / Product |
| Choose book | Account(s) and Product(s) trees |
| Run | Calculate VaR |
| Stop a run | Cancel |
| See distribution | Click a completed VaR Results row |
| Export detail | Download |
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## Related articles
- [Navigation](#)
- [Market Risk Overview](#)
- [Run Scenarios](#)
- [Pin Risk Tool](#) (if published)
- [Working with Grids](#)
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## Screenshot checklist (for authors)
1. Full VaR Analysis three-column layout
2. Calculation Parameters (Confidence, Days, Group By, Start of Day)
3. Account(s) tree with selections
4. Product(s) tree with selections
5. Calculating… + Cancel + request ID
6. VaR Results table with values
7. Selected result row
8. Histogram chart
9. Stats table (Samples, St Dev, Kurt, Mean Abs Dev, Skew, Tail Loss)
10. Download control
Replace # related-article links with live riskdocs URLs when those articles are published.
Publishing note: This updates the classic VaR (Value-at-Risk) article for the React VaR Analysis page. Keep calculation methodology notes from the classic article if they are still accurate; replace PHP click-paths and screenshots with the layout above.