Value at Risk (VaR) Calculator
Parametric VaR: estimate maximum expected loss at 90%, 95%, or 99% confidence.
Use the Value at Risk (VaR) Calculator
Enter portfolio value, volatility (%), and confidence level. Parametric VaR is calculated.
Inputs
Portfolio value, volatility (%), and confidence level. Parametric VaR.
Results
VaR (95%)
$24,675
VaR (%)
24.68%
Parametric VaR: Portfolio value × (z-score × volatility). Maximum expected loss at given confidence.
How this calculator works
Parametric VaR uses portfolio value, volatility (%), and confidence level. VaR = PV × z × σ.
Limitations
Parametric VaR assumes normal returns. Real markets may have fat tails. For full distributions, use historical or Monte Carlo VaR.
FAQs
What is VaR?▾
Value at Risk: maximum expected loss over a period at a given confidence level.
What is parametric VaR?▾
Assumes returns are normally distributed. VaR = Portfolio × (z-score × volatility).
How do I interpret 95% VaR?▾
95% VaR of $10,000 means there is a 5% chance of losing more than $10,000.
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