Value at Risk (VaR) calculator

"With X% confidence, the portfolio shouldn't lose more than this over the chosen horizon — if returns behave normally." Parametric VaR, computed in your browser; nothing entered is sent or stored.

Portfolio value

Annualised volatility (%)

Confidence level

Horizon (trading days)

The formula (and its assumptions)

VaR = V × z × σ_annual × √(h / 252) — portfolio value times the z-score for your confidence level, times annualised volatility scaled to the horizon. Mean return is conservatively ignored over short horizons.

This is parametric VaR: it assumes returns are normally distributed. Real markets have fat tails — extreme days happen far more often than the normal curve predicts — so treat parametric VaR as a floor on how bad "bad" can be, never a worst case. The days that break VaR models are precisely the event-driven days Farlens exists to map.

Reading the number

95% one-day VaR being breached ~once a month is expected — that's what 1-in-20 means at daily frequency.
VaR says nothing about how much worse than the threshold a breach gets (that's expected shortfall, a different measure).
Volatility inputs from calm periods understate risk; consider what σ was in the last stressed regime, not just last quarter.