Parametric Value-at-Risk Calculator
Estimate daily and period Value-at-Risk (VaR) for a portfolio using the parametric (variance–covariance) method — a close cousin of Monte Carlo for normally distributed returns.
How to Use the Parametric Value-at-Risk Calculator
- Enter the portfolio value.
- Enter annual volatility in percent.
- Enter horizon in trading days.
- Pick confidence level.
- Click Calculate.
Anwendungsfälle
- •Risk-budget checks for trading desks.
- •Retail portfolio stress tests.
- •Educational VaR walkthroughs.
Formel
Daily VaR = portfolio × σ_annual × z / √252. Period VaR = daily VaR × √horizon_days.
Häufig gestellte Fragen
Parametric vs Monte Carlo?
Parametric assumes returns are normally distributed; Monte Carlo resamples historical or simulated paths. For short horizons and linear portfolios they agree closely.
Why divide by √252?
252 is the typical number of trading days per year — this converts an annual volatility to a daily one.
What does 95% VaR mean?
On roughly 1 out of every 20 days you expect the loss to exceed the reported VaR number — the rest of the time it should be smaller.