Value-at-Risk (VaR) Calculator

Calculate Value-at-Risk using historical simulation, parametric (delta-normal), and Monte Carlo methods. Compute 1-day and 10-day VaR at 95% and 99% confidence for individual assets or portfolios, with Basel regulatory context.

Principal ($)
Annual Rate (%)
Years
Compounding / Year
$ Finance Disclaimer: These calculators are for educational and illustrative purposes only. Results do not constitute financial advice. Consult a licensed financial advisor before making investment or borrowing decisions.
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How It Works

Calculate Value-at-Risk using historical simulation, parametric (delta-normal), and Monte Carlo methods. Compute 1-day and 10-day VaR at 95% and 99% confidence for individual assets or portfolios, with Basel regulatory context

Each component has a specific meaning:

  • Historical simulation — The historical simulation recorded for the scenario being assessed.
  • Parametric — The parametric recorded for the scenario being assessed.
  • Monte Carlo methods — The monte carlo methods recorded for the scenario being assessed.

Note: Interpret the var calculator result against the thresholds and context described above.

How to Use

Enter the historical simulation, parametric, Monte Carlo methods for the scenario you are assessing. Calculate Value-at-Risk using historical simulation, parametric (delta-normal), and Monte Carlo methods. Compute 1-day and 10-day VaR at 95% and 99% confidence for individual assets or portfolios, with Basel regulatory context. Use the var calculator result to inform your calculation.

Frequently Asked Questions