Value at Risk Calculator (VaR)

Written by Great Medico

Updated September 25, 2026 •3 min read

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When comparing scenarios with Value at Risk Calculator (VaR), consistency matters as much as the number itself. Applying the same formula to each set of displayed inputs makes the comparison easier to audit.

What this calculator does

Value at Risk Calculator (VaR) estimates parametric value at risk for a portfolio using expected daily return, daily volatility, confidence level, and time horizon. It works from portfolio value, expected daily return, daily volatility, confidence level, and time horizon. For Value at Risk Calculator (VaR), the calculator does not pull live quotes or analyst estimates, which keeps the scenario reproducible with the numbers you supply.

How to use it

Start with Portfolio value, Expected daily return, Daily volatility, Confidence level, and Time horizon. For Value at Risk Calculator (VaR), enter percentage or rate fields on the scale displayed by the form rather than converting them to an unstated format. Use the time unit shown for Time horizon in Value at Risk Calculator (VaR); do not silently switch between years, months, or days. Use one currency for all monetary fields in Value at Risk Calculator (VaR); the currency selector formats the result and does not convert exchange rates. Before calculating, recheck Portfolio value, Expected daily return, Daily volatility against the source numbers you intend to analyze.

How the calculation works

The model uses a normal-distribution z score: loss rate = z × daily volatility × √time − expected daily return × time. VaR is portfolio value × the positive part of that loss rate. Value at Risk Calculator (VaR) substitutes the relevant form values into this equation without adding an unstated market assumption. For Value at Risk Calculator (VaR), an unusual result is a reason to verify the entered values and the formula shown here before drawing a conclusion.

Example

For a $1,000,000 portfolio with 1% daily volatility, near-zero expected daily return, a 95% confidence level, and a 1-day horizon, normal VaR is roughly $16,449. Use the same Value at Risk Calculator (VaR) steps with your own form values rather than treating the sample as a target.

How to interpret the result

VaR is a threshold estimate: under the model, losses are expected to exceed the VaR amount only with the remaining tail probability. It does not tell you how large losses could be once that threshold is breached. The confidence level is not a promise that losses cannot be larger; it defines a modeled quantile under the distribution assumptions. When comparing Value at Risk Calculator (VaR) results, change assumptions deliberately so you can see which displayed input caused the difference.

Limitations and notes

This calculator assumes normal returns and square-root-of-time volatility scaling. Real markets can have fat tails, jumps, changing volatility, liquidity constraints, and nonlinear positions, so VaR should not be treated as a worst-case loss. Keep the source date and assumptions with the Value at Risk Calculator (VaR) result so a later comparison uses the same definitions.