@pauljlei, The VaR Deep Dive post brings more clarity, and I appreciate you mentioning that you plan to add more explanation and features right on the Dashboard.
If I may, I would like to suggest adding some more color to the discussion on VaR, so users have a better appreciation of the risk that they are dealing with. (The Investopedia link within the Medium post has some explanation, but I would suggest highlighting the following right on the Dashboard.)
- The assessment of potential loss represents the lowest amount of risk in a range of outcomes. For example, a VaR determination of 95% with 10% asset risk represents an expectation of losing at least 10% one of every 20 days (5% of the days) on average. In this calculation, a loss of 50% still validates the risk assessment.
- By definition, VaR always has a time period associated with the potential loss. For example, a 1-day VaR is not the same as 1-week VaR. Due to the nature of fast liquidations that occur on Compound, I would assume that your model essentially reflects a 1-day VAR and LAR (and a 1-week VaR may not even make sense). However, this assumption (or alternative assumptions that you are using) need to be explained, because VaR definition is not complete without stating this time period.