Just polling to check for a common industry term for opposite of VaR. i.e. VaR measures the probability of loosing x amount of money over some holding period with some confidence. i.e. we keep probability fixed (say 99%) and find out what the amount is. so in a time series graph, the x axis would be date and the y axis would be the value of var. what is an industry term where we keep amount fixed and find the probability... i.e. it answers the question... what is the probability of losing x (fixed) amount of money over a time horizon. So in a time series graph, the x axis would be date and y axis would be the probability of loosing say 20% of your capital.Thanks in advance

This is simply the Distribution of P&L over a n-day horizon.

it is not a cdf...assume it is a time series graph with date on x axis and on y axis, it is the probability of loosing more than 20%(say) of your capital..ther eis no realized P&L yet...

I guess the term you are looking for is "shortfall probability".You still need a distribution of returns, parametric or empirical, for estimating each data point in your time series, just like in VaR.

VaR says two opposite things - For instance a 99% VaR of $1MM says:1.) A 1% chance of losing more than a million.2.) A 99% of losing less than a million

The cumulative distribution function....It will give you the probability that the random variable X takes on a value less than or equal to x.

maybe the inverse of VaR is a better expression than the opposite of VaR