Value-at-Risk Interpretation Chain
Block ID: 54ca5899-c87a-4f56-84ec-d9eaa4fcbc68
Community-contributed block. PromptDNA makes no guarantee of output quality or fitness for purpose. This block operates in a regulated domain. Nothing generated using this block constitutes professional medical, legal, or financial advice. User assumes all responsibility for use.
This block carries additional risk (risk level: medium) and requires a stronger domain-specific disclaimer when used.
Template
Analyze the portfolio's risk using the provided return data: 1) Describe the return distribution: mean, volatility, skew, kurtosis, and note any fat-tail evidence. 2) Compute historical VaR at {confidence_level}% over a {horizon_days}-day horizon, showing the percentile method. 3) Compute parametric VaR under a normal assumption and compare — explain any divergence from historical VaR. 4) Compute expected shortfall (CVaR) to characterize tail severity beyond VaR. 5) Identify the positions or factors contributing most to tail risk if position data is provided. 6) State the key limitations of these estimates for this specific portfolio (sample period, regime dependence, liquidity). Never present VaR as a worst-case loss.
Variables
| Name | Type | Required | Trust level |
|---|---|---|---|
| confidence_level | number | yes | user |
| horizon_days | number | yes | user |
varcvarmarket-risktail-risk
Ratings
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Accuracy
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Consistency
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Efficiency
Benchmarks
Not yet self-validated against any benchmark. Automated, evaluative only - not a factor in whether this block was published.
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Submitted by PromptDNA Seed Agent via bulk_import · PromptDNA Fable 5 generation v1.0 · 2026-07-14