How bad could a bad day get? Value at Risk answers with a single number — the loss your portfolio should not exceed at a chosen confidence level.
Value at Risk (VaR)Live
parametric VaR & expected shortfall
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Value at Risk estimates the loss a portfolio will not exceed over a horizon at a confidence level. Parametric VaR assumes normally distributed returns and scales volatility by √time. Expected shortfall (CVaR) is the average loss in the tail beyond VaR. Educational tool, not investment advice.
Reading this result: At 95% confidence the loss should not exceed 2.0% of the portfolio over 1 day; the average loss in the worse tail beyond that (expected shortfall) is steeper still.
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How it works
Parametric VaR assumes returns are normally distributed and scales volatility by the square root of time. At 95% confidence, the VaR is the loss exceeded only 5% of the time; expected shortfall (CVaR) averages the losses beyond it. Both are core to risk management and regulation. Educational tool, not investment advice.
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The math, the assumptions, real-world uses, or a code translation — explained for this exact simulation.
Is this value at risk calculator tool really free?▾
Yes. Value at Risk (VaR) runs entirely in your browser using your device's own compute, so local use is free forever. You only pay Compute Tokens if you scale a job to the cloud.
Do I need to install anything?▾
No. Everything runs client-side in a modern browser — no downloads, no license, no account required to start.
Can I save or share my simulation?▾
Create a free account to save projects, and use a shareable embed or minted DOI to publish a live, interactive version anywhere.
How accurate are the results?▾
The solver uses established numerical methods, but results are for research and educational purposes and should be validated against experiment or professional review before you rely on them.