For Hobbyists & Makers · Value at Risk
Value at Risk for a hedge position
Built for hobbyists & makers exploring it for fun. Play with real physics and math, no license and no setup — just open and tinker. Simulate a hedge position live below — adjust the inputs and watch it respond, right in your browser.
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.
Data Inspector
VaR (95%)$20,446
Expected shortfall$25,708
Horizon vol1.26%
Governing equation
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.
Runs locally in your browser — free forever. Scale to the cloud when reality gets heavy.
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Frequently asked questions
- Is this good for hobbyists & makers?
- Yes — this version of "Value at Risk for a hedge position" is framed for hobbyists & makers exploring it for fun. Play with real physics and math, no license and no setup — just open and tinker.
- Do I need to install anything?
- No. It runs in any modern browser, free, with no account required.