Kaal Bhairav is specially performed on the Ashtami date of Krishna Paksha. Kaal Bhairav was born on Ashtami day. They are also considered unborn due to the mother not being born from the womb, while some people also know her as the Kotwal of Kashi. It is believed that on remembering Kaal Bhairav with true mind, he is always ready to protect his devotees.
Once there has been a dispute between Lord Brahma, Vishnu and Mahesh i.e. the Tridevas about who is the best among them. A meeting of all the deities was called to resolve the dispute. Lord Shiva and Vishnu agreed with the conclusion given by the gathering after much brainstorming, but Brahma Ji was not satisfied. Even tried to humiliate Lord Shiva, which made Lord Shiva extremely angry. Kaal Bhairava originated from this terrible form of Lord Shankar. All the Gods and Goddesses present in the meeting trembled seeing this form of Shiva.
Kalabhairava, who had descended on a black dog with punishment in his hands, attacked Brahma and separated one of his heads. With only four heads left with Lord Brahma, he apologized and saved himself from the wrath of Kaal Bhairav. On Lord Brahma's apology, Lord Shiva returned to his form again, but Kaal Bhairava was accused of killing Brahm, for which he wandered here and there for many years to reach Varanasi where he got freedom from this sin. Lord Kaal Bhairav is also called Mahakaleshwar, Dandadhipati. They are also known as Dandapanis because of their freedom from punishment in Varanasi.