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Value At Risk (Treasury) Calculator

Work out value at risk (treasury) instantly with clear inputs, formula shown and shareable results.

About Value At Risk (Treasury) Calculator

Parametric value at risk scales daily volatility by the square root of the holding period and multiplies by the confidence multiple. It states the loss that should not be exceeded on all but a small share of periods.

Formula

Parametric VaR

VaR = V × z × σ_daily × √days

z
Confidence multiple
σ
Daily volatility

Worked example

With the default values below, Value At Risk (Treasury) Calculator returns Value At Risk of $11,954,160.60. Change any input above and every figure here is recalculated in your browser.

Inputs used

Portfolio Valueminimum 0
250,000,000
Daily Volatilityaccepts 0.01–10 %
0.65 %
Confidence Levelone of 95%, 99%, 97.5%
99%
Holding Period In Daysaccepts 1–250
10

Results

Value At Risk
$11,954,160.60
Value At Risk As Share Of Portfolio
4.7817%
One-Day Value At Risk
$3,780,237.50
Volatility Over The Holding Period
2.0555%

Step by step

  1. 1Values used
  2. 2Parametric VaR
  3. 3Value At Risk= 11,954,160.60
  4. 4Value At Risk As Share Of Portfolio= 4.7817
  5. 5One-Day Value At Risk= 3,780,237.50
  6. 6Volatility Over The Holding Period= 2.0555

Assumptions and limits

  • The result is derived only from the 4 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.
  • Figures are estimates based on the inputs given. Bank charges, regulatory minima and market rates change and differ between institutions and jurisdictions. This is not financial advice — confirm with your bank or treasury policy.

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

Figures are estimates based on the inputs given. Bank charges, regulatory minima and market rates change and differ between institutions and jurisdictions. This is not financial advice — confirm with your bank or treasury policy.

Frequently Asked Questions

What does value at risk not tell you?

How bad losses are beyond the threshold. Expected shortfall addresses that and is now the regulatory preference.

Why the square root of time?

It assumes independent daily returns. Where returns trend or cluster, that assumption understates risk.

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