Market risk
The risk that a price moves against you because the whole market moved, not because anything happened at the issuer.
How to read the number
Picking better names does not remove it: when the market falls as a whole, the differences between issuers stop mattering. It is managed through the share of risky assets in the portfolio or through a hedge, not by swapping one holding for another.
When the metric lies
It is almost always measured on a calm past. An estimate taken from a quiet stretch understates the risk exactly before the moment it was needed for.
Also known as: market-wide risk