Work out value at risk (treasury) instantly with clear inputs, formula shown and shareable results.
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.
Parametric VaR
VaR = V × z × σ_daily × √days
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 bad losses are beyond the threshold. Expected shortfall addresses that and is now the regulatory preference.
It assumes independent daily returns. Where returns trend or cluster, that assumption understates risk.