PalacioHill

bpdulog Wrote:
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> Shortfall risk is the inverse of VAR. VaR gives
> you the monetary loss in % terms, Shortfall risk
> gives you the % of losing a certain amount.

Thanks; that is helpful. But it only reinforces the idea that we actually have two names for the very same thing. Neither VAR or Shortfall risk is going to mean anything without *both* a probability and a return (or dollar loss).

Portfolio of $1billion

VAR: 5% of chance of losing at least $100 million.
Shortfall: 5% chance of portfolio declining below $900 million.

It's a one-tailed t-test. They say the same thing.
Right?