Value-at-Risk procedure calculates Value-at-Risk Maximum portfolio loss (measured in % of the initial wealth) over a given time interval at a given level of statistical confidence. and Conditional Value-at-Risk Conditional expectation of losses beyond VaR (measured in % of the initial wealth) over a given time interval at a given level of statistical confidence. values for the whole range of time horizons and confidence levels. The obtained figures contain information about portfolio risks. The latter can be used for internal needs such as setting of limits and risk control, or preparation of reports for regulating authority.
More detailed information about Value-at-Risk methodology is contained in the Theory Help.
VaR-CVAR