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fin.value-at-risk-parametric Calculator
Calculates parametric Value at Risk from portfolio value, volatility, confidence level, and time horizon. Parametric VaR assumes normal returns — for fat-tailed distributions, it underestimates tail risk compared to historical or Monte Carlo VaR.
Inputs
Portfolio Value
Reference formula or conversion factor shown for context.
Mean Return Pct
Arithmetic average. Sensitive to outliers — if your data has extreme values, the median may be more representative.
Std Dev Pct
Reference formula or conversion factor shown for context.
Confidence Pct
How certain you want to be that the interval contains the true value. 95% is standard. Going to 99% widens the interval.
Holding Days
Time for one complete cycle (s). Period = 1 / frequency. A 50 Hz signal has a 20 ms period.
Results
1-day VaR ($)
Reference formula or conversion factor shown for context.
VaR % of portfolio
Reference formula or conversion factor shown for context.
z-score at
Number of standard deviations a value is from the mean. |z| below 2: within normal range. |z| above 2: in the outer 5% of the distribution. |z| above 3: in the outer 0.3%.