Value at Risk Calculator
Calculate parametric VaR using the variance-covariance method
Value at Risk (VaR)
Maximum expected loss over
at % confidence
About This Calculator
This Value at Risk calculator uses the parametric (variance-covariance) method assuming normal distribution and zero mean return over short horizons. The calculation assumes 252 trading days per year.
Key Formulas:
- Daily Volatility: σd = Annual Vol / √252 (if annual) or input value
- Period Volatility: σt = σd × √t
- VaR = Position × Z-score × Period Volatility
Limitations: This method assumes normal distribution and may underestimate tail risks during extreme market conditions.
