Value at Risk Calculator

Estimate the loss that will not be exceeded at a chosen confidence level over a horizon.

About Value at Risk Calculator

Volatility scales with the square root of time, so a ten-day risk is not ten times a one-day risk. VaR states the loss that will not be exceeded at the chosen confidence, but says nothing about how bad the tail beyond it is. VaR is a threshold rather than a worst case, which is why it should always be read alongside expected shortfall.

Formula

Value at Risk

VaR = portfolio × (z × volatility × √(days ÷ 252) − expected return over the horizon)

z: Standard normal value for the confidence level
√time scaling: Volatility grows with the square root of the horizon

Worked example

With the default values below, Value at Risk Calculator returns Value at Risk of $23,191.16. Change any input above and every figure here is recalculated in your browser.

Inputs used

Portfolio valueminimum 0: 500,000
Annual volatilityaccepts 0–100 %: 15 %
Expected annual returnaccepts 0–100 %: 7 %
Horizonaccepts 1–365 days: 10 days
Confidence levelaccepts 80–99.9 %: 95 %

Results

Value at Risk: $23,191.16
Value at Risk as Share of Portfolio: 4.638%
Volatility Over the Horizon: 2.988%
Confidence Z-Value: 1.6452
Expected Return Over the Horizon: 0.2778%

Step by step

1Values used
2Value at Risk
3Value at Risk= 23,191.16
4Value at Risk as Share of Portfolio= 4.638
5Volatility Over the Horizon= 2.988
6Confidence Z-Value= 1.6452
7Expected Return Over the Horizon= 0.2778

Assumptions and limits

The result is derived only from the 5 inputs listed above. Anything not among them is not part of the calculation.
In particular, this calculator does not take inflation, tax or fees or charges into account.
Figures are rounded for display to 4 decimal places, so totals built from several rounded parts can differ slightly from the unrounded arithmetic.
This is an estimate for general information and not professional financial, tax or legal advice. See the full disclaimer for the limits that apply to this kind of calculator.

How these calculators are built and tested is described on the Methodology page. If a figure looks wrong, please report it.

Frequently Asked Questions

How is Value at Risk calculated?

VaR = portfolio × (z × volatility × √(days ÷ 252) − expected return over the horizon) Volatility scales with the square root of time, so a ten-day risk is not ten times a one-day risk. VaR states the loss that will not be exceeded at the chosen confidence, but says nothing about how bad the tail beyond it is.

Why does Value at Risk matter?

VaR is a threshold rather than a worst case, which is why it should always be read alongside expected shortfall.

What values do I need to enter?

This calculator takes 5 inputs: Portfolio value, Annual volatility, Expected annual return, Horizon, Confidence level. The pre-filled defaults are a realistic starting point — replace them with figures from your own environment for a result you can act on.