Value at Risk (VaR)
Estimate the loss a portfolio should not exceed over a chosen horizon at a chosen confidence, using parametric Value at Risk — and understand what it deliberately leaves out.
Runs entirely in your browserRuns entirely on your device — nothing you type is sent anywhere. Educational only, and not investment advice.
How to use this calculator
Each step names a control you will find on screen above.
- Portfolio value
The total value at risk. VaR scales directly with it.
- Annual volatility
The annualised standard deviation of the portfolio’s returns. It is scaled to the horizon by the square root of time.
- Horizon
The number of days over which you are measuring the potential loss — one day for a trading book, longer for an investment portfolio.
- Confidence level
How far into the tail you measure: 95% is breached about one day in twenty, 99% about one day in a hundred. Higher confidence gives a larger VaR.
Worked example: A ₹10 lakh portfolio, one day
₹10,00,000 portfolio with 20% annual volatility, one-day horizon, 95% confidence.
What to enter
- Portfolio value
- ₹10,00,000
- Annual volatility
- 20%
- Horizon
- 1 day
- Confidence
- 95%
What it shows you
- Daily volatility
- ≈ 1.26%
- 95% VaR
- ≈ ₹20,700
- 99% VaR
- ≈ ₹29,300
- Beyond the threshold
- Can be far larger
Where this is taught
A calculator gives you a number. These explain what the number means and when it misleads you.
- Technical Analysis11 minValue at Risk: the loss you should not exceed on a normal dayA single number for how much a portfolio might lose, at a chosen confidence, over a chosen horizon. How VaR is built, what it deliberately hides, and why its blind spot has caused real disasters.
- Technical Analysis10 minExpected shortfall: how bad the bad days really areValue at Risk tells you a bad day happens — expected shortfall tells you how bad. The metric that fills VaR’s dangerous blind spot, why regulators now prefer it, and what it still cannot see.
- Technical Analysis10 minBollinger Bands and measuring volatilityBands that adapt to volatility, the squeeze that precedes big moves, and why ATR should decide your stop distance.
- Technical Analysis11 minEvery stock has a personalityThe same setup behaves differently on different instruments. Knowing how a stock habitually moves is an edge that only comes from watching the same names for years.
- Technical Analysis13 minMean reversion: trading the rubber bandThe mirror image of trend following — many small wins, rare large losses, and a hit rate that flatters until the day it does not. What makes one work where the other fails.