VaR Calculator (Value at Risk)
Investing & MarketsCalculate a portfolios Value at Risk (VaR) using the parametric (variance-covariance) method.
Value at Risk
The minimum loss (shown as a negative number) you could expect to exceed only with the leftover probability, over the given horizon.
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Calculator Stats
Creators
Odeh Ahwal0people find this calculator helpful
Views
Helpful
Saved
Embeds
Investing & Markets calculators
Frequently Asked Questions
What does Value at Risk (VaR) tell you?
VaR estimates the worst expected loss over a given time horizon at a chosen confidence level. For example, a 95% one-year VaR of -$33,000 means there is roughly a 5% chance of losing more than $33,000 over that year.
What method does this calculator use?
This calculator uses the parametric (variance-covariance) method, which assumes returns are normally distributed and combines the portfolios expected return with its volatility scaled by the time horizon.
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