Enter the expected weighted return, z-score, standard deviation, and the total value of a portfolio to calculate the value at risk.
- Z-Score Calculator
- Confidence Interval Calculator (1 or 2 means)
- Relative Standard Deviation Calculator
Value At Risk Formula
The following formula is used to calculate a value at risk.
VaR = [EWR – (Z*STD)] * PV
- Where Var is the value at risk
- EWR is the expected weighted return of portfolio
- Z is the z score
- STD is the standard deviation
- PV is the portfolio value
FAQ
What is VAR?
VAR stands for value at risk. It is a measure of the confidence or likelihood of a given portfolio exceeding a certain loss. In other words, t’s a minimum loss in dollars over a given period based on probability of past performance.
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