Value-at-Risk for a basket, and the name driving it

Value-at-Risk (VaR) — the loss a bad day exceeds only rarely — computed both from history and by Monte-Carlo, alongside Expected Shortfall (CVaR), the average loss on the days that breach VaR. Both use the weights shown on each name — equal by default, or the weights you supply (normalized to 100%). Marginal VaR attributes that risk to individual holdings.