Value at Risk Calculator

About this calculator

This calculator uses the parametric (variance-covariance) VaR method: VaR = portfolio value × z-score for the chosen confidence level × volatility × √holding period. The z-score comes from the standard normal distribution (1.645 for 95% confidence, 2.326 for 99%), and the √time scaling assumes returns follow a random walk, so risk grows with the square root of the holding period rather than linearly.

Risk managers and portfolio managers use this to state, in dollar terms, the maximum loss a portfolio is unlikely to exceed over a given horizon at a given confidence level — a figure that feeds directly into regulatory capital calculations under frameworks like Basel — while traders use it day to day to size positions and keep risk within a desk's mandate.