Value at Risk (VaR) Calculator
Estimate the maximum portfolio loss at a given confidence level.
e.g., 0.03 for 0.03%
Frequently Asked Questions
What is Value at Risk?
VaR estimates the maximum loss your portfolio could suffer over a given time period at a specified confidence level. For example, a 95% 1-day VaR of $10,000 means there is a 5% chance of losing more than $10,000 in one day.
What is Expected Shortfall?
Expected Shortfall (CVaR) is the average loss given that the loss exceeds the VaR threshold. It provides a more conservative risk measure than VaR alone.
How is VaR calculated?
We use the parametric method: VaR = Portfolio ร (Z ร ฯ - ฮผ), where Z is the confidence Z-score, ฯ is volatility, and ฮผ is the expected return.
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What is this tool?
Value at Risk (VaR) measures the maximum expected loss of a portfolio over a specific time period at a given confidence level. A 1-day 95% VaR of 10000 means there is a 5% chance of losing more than 10000 in one day. Parametric VaR assumes normal distribution.
How to use
- 1
Enter portfolio value
Input your total portfolio value.
- 2
Set return and volatility
Enter daily return and daily volatility percentages.
- 3
Choose confidence level
Select 95%, 99%, or 99.5% confidence.
- 4
Set time horizon
Enter the risk horizon in trading days.
- 5
View VaR results
See VaR amount, Expected Shortfall, and comparison table.
Frequently Asked Questions
What is Value at Risk?
VaR estimates the maximum loss your portfolio could face over a given period at a certain confidence level.
What is Expected Shortfall?
Expected Shortfall (CVaR) is the average loss given that the loss exceeds VaR, providing a more conservative risk measure.
Parametric vs Historical VaR?
Parametric VaR assumes normal distribution and is faster but may underestimate tail risk. Historical VaR uses actual returns without distributional assumptions.