> ## Documentation Index
> Fetch the complete documentation index at: https://auramarkets.mintlify.site/llms.txt
> Use this file to discover all available pages before exploring further.

# Risk: CVaR, IVaR, stress

> What your portfolio loses in bad scenarios — and which holdings are responsible.

The **Risk Analysis** sub-tab of [Portfolio](/portfolio/connect) is where you find out what your book actually loses when things go sideways. Three lenses, each answering a slightly different question.

## CVaR — Conditional Value at Risk

**The question:** "On a really bad day, how much do I lose?"

CVaR is the average loss in the **worst X% of historical scenarios**. We typically show the 95% and 99% CVaR.

| Reading              | Meaning                                                                  |
| -------------------- | ------------------------------------------------------------------------ |
| **95% CVaR = -3.2%** | In the worst 5% of historical days, your portfolio averaged a -3.2% loss |
| **99% CVaR = -6.8%** | In the worst 1% of historical days, your portfolio averaged a -6.8% loss |

CVaR is more honest than VaR (Value at Risk) because it doesn't ignore the tail — it averages it.

**How to use it:** if your 99% CVaR is bigger than what you can stomach losing on a single day, your position sizes are too big.

## IVaR — Incremental Value at Risk

**The question:** "Which holdings are responsible for my risk?"

IVaR breaks down your portfolio's risk by holding. Each name gets a contribution score — how much of your CVaR is *that* position adding?

| Reading           | Meaning                                                                 |
| ----------------- | ----------------------------------------------------------------------- |
| `NVDA: +18% IVaR` | NVDA is contributing 18% of your portfolio's downside risk              |
| `BRK.B: +2% IVaR` | BRK.B is contributing 2% — disproportionately small risk for its weight |

A position with a small **weight** but a large **IVaR contribution** is your risk problem — even if you don't think of it that way.

**How to use it:** sort holdings by IVaR. If one name is 30%+ of your risk, ask whether that's intentional.

## Stress scenarios

**The question:** "What does my portfolio do in a specific historical event?"

Stress scenarios replay your *current* holdings through past crisis windows:

* **2008 GFC** — Sep 2008–Mar 2009
* **2020 COVID crash** — Feb–Mar 2020
* **2022 rate shock** — full year 2022
* **2018 vol spike (Volmageddon)** — early Feb 2018
* **Custom date ranges** — pick any window

Each scenario shows: total drawdown, time-to-recover, worst day, and per-holding contribution.

**How to use it:** these are "what would happen if X repeated tomorrow." Useful for calibrating sizes before a known catalyst (FOMC, CPI, election).

## Correlation matrix

Lives on the Performance tab but matters here too — if your IVaR shows two names contributing risk and the correlation matrix shows them at +0.92, you don't have two positions, you have one.

## How most people use it

* **After every new position** — check IVaR; did you just concentrate risk?
* **Before known catalysts** — run the stress scenarios most analogous to what you're worried about
* **Monthly** — re-check 99% CVaR against your "I can stomach losing this in a day" number
* **When markets feel calm** — that's when CVaR is most useful; the calm reading is your early warning that a bad day will hurt more than your gut thinks