Value at risk (VaR) as a standard measure of market risks has been widely implemented by financial institutions. The VaR of a market position is a single number attempting to summarize the risk of that position. It is defined as the worst expected loss of the position over a given period of time, at a given confidence level. A natural question with respect to risk management relates to the profile of losses beyond the VaR. This question is especially relevant when the distribution of asset returns is fat-tailed, or when the position includes options. This article uses the concept of BVaR in order to take into account the profile of losses beyond the VaR. Technically speaking, this corresponds to the statistical mean of the losses exceeding the VaR. While the VaR focuses on the frequency of extreme events, BVaR integrates both the frequency and the size of extreme events.
LONGIN, F. (2001). Beyond the VaR. Journal of Derivatives, pp. 36-48.