Value at Risk (VaR) Calculator

This is the parametric (also called "delta-normal" or variance-covariance) method for Value at Risk — the standard closed-form VaR calculation, as opposed to historical-simulation or Monte Carlo VaR, which both need an actual return series this site's inputs can't take. It assumes periodic returns are normally distributed around a mean of zero (the conventional simplifying assumption for short horizons), so the loss that won't be exceeded with the chosen confidence is VaR = PortfolioValue × z × σ × √T: z is the one-tailed standard-normal quantile at the confidence level (≈1.645 at 95%, ≈2.326 at 99%), σ is the periodic volatility you enter, and √T scales that single-period volatility up to a T-period horizon under the "square-root-of-time" rule.

Every input — portfolio value, volatility, confidence level, and horizon — is a figure you supply for your own portfolio and period; nothing about a real market's actual volatility is invented or fetched. VaR answers "how much could this lose" at the stated confidence, not "how much could it possibly lose" — by construction, the actual loss exceeds this figure (1 − confidence) of the time, which is exactly the tail risk this method, like all VaR methods, is known to understate when real returns have fatter tails than a true normal distribution.