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fin.value-at-risk Calculator
Calculates Value at Risk (VaR) and Conditional VaR (CVaR/Expected Shortfall) at a given confidence level from portfolio value and volatility. VaR at 95% confidence means the portfolio loses more than this amount only 5% of the time — CVaR is the average loss in those worst 5% scenarios.
Inputs
Portfolio Value
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.
Daily Volatility Pct
Annualised standard deviation of returns, as a decimal (e.g. 0.2 for 20%). Higher volatility increases option value. Implied vol is derived from market prices.
Holding Period Days
Time for one complete cycle (s). Period = 1 / frequency. A 50 Hz signal has a 20 ms period.
Results
Value at Risk (VaR)
The computed numeric or monetary value.
Conditional VaR (CVaR/ES)
Sample size or count used in the calculation.
VaR as % of portfolio
Reference formula or conversion factor shown for context.
confidence level
The measured or computed level on the applicable scale.
VaR = z × σ × √t × Portfolio
Reference formula or conversion factor shown for context.