Value at Risk Calculator

Calculate Value at Risk (VaR) to measure potential portfolio losses using historical, parametric, and Monte Carlo methods.

✓ Historical VaR ✓ Parametric VaR ✓ Risk Analysis

VaR Calculator

VaR Method

Portfolio Information

Current portfolio value

Statistical confidence level

Risk measurement period

Risk Parameters

Daily expected return

Daily standard deviation

Historical Returns Data

Historical daily returns separated by commas (if not provided, will use sample data)

VaR Methods

Different approaches to calculate VaR

Historical:
Uses actual historical returns
Parametric:
VaR = μ - (Z × σ) × √t
Monte Carlo:
Simulation-based approach

Quick Examples

Conservative Portfolio
Low volatility, 95% confidence
Aggressive Portfolio
High volatility, 99% confidence
Monte Carlo Analysis
Simulation-based VaR

Risk Interpretation

95% VaR: 5% chance of exceeding loss
99% VaR: 1% chance of exceeding loss
99.9% VaR: 0.1% chance of exceeding loss
Higher VaR: More conservative estimate

Applications

🛡️ Risk Management: Portfolio risk assessment
📊 Regulatory: Basel III compliance
💼 Capital Allocation: Risk-based decisions
📈 Performance: Risk-adjusted returns
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Understanding Value at Risk

Value at Risk (VaR) is a statistical measure that quantifies the potential loss in value of a portfolio over a specific time period for a given confidence interval.

  • Risk Quantification: Measures potential losses in monetary terms
  • Time Horizon: Specifies the period over which risk is measured
  • Confidence Level: Probability that losses won't exceed VaR
  • Multiple Methods: Historical, parametric, and Monte Carlo approaches

VaR Methods Comparison

Historical VaR

Uses actual historical returns data. No distributional assumptions required.

Parametric VaR

Assumes normal distribution. Fast calculation but may underestimate tail risks.

Monte Carlo VaR

Uses simulation to model complex portfolios. Most flexible but computationally intensive.

Risk Management

Essential tool for portfolio managers, traders, and risk officers.