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
Value At Risk Definition
A value at risk is defined as the likelihood of an investment portfolio exceeding a certain amount of monetary loss.
Value At Risk Example
How to calculate value at risk?
- First, determine the expected weighted return.
Calculate the expected return.
- Next, determine the z score and standard deviation.
Calculate the z score and standard deviation.
- Next, determine the portfolio value.
Calculate the portfolio value.
- Finally, calculate the value at risk.
Calculate the value at risk using the formula above.
FAQ
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.
Related Terms
| value at risk calculator |
| var calculator |
| var formula |
| how to calculate value at risk |
| how to calculate var |
| value at risk formula |
| var calculation examples |
| var calculation formula |
| cvar formula |
| var equation |
| value at risk formula excel |
| how to calculate value at risk in excel |
| parametric var formula |
| marginal value at risk |
| how to calculate expected shortfall |
| value at risk calculation example |
| var formula excel |
| var calculator online |
| calculate value at risk in excel |
| basis risk formula |
| var parametrico formula |
| marginal var formula |
| cvar calculation |
| var computation |
| how to calculate cvar |
| var value at risk formula |
| value at risk graph |
| how to find var |
| portfolio var formula |
| how to calculate expected shortfall of a portfolio |
| conditional value at risk formula |
| how to compute var |
| value at risk equation |
| how to calculate var of a portfolio in excel |
| what is value at risk and how is it calculated |
| how to calculate asset value in risk assessment |
| how to calculate var of a portfolio |
| credit value adjustment example |
| how do you calculate var |
| portfolio value at risk calculation excel |
| how var is calculated |
| methods of calculating var |
| formula of var |
| how to calculate 10 day var |
| how to calculate risk value |
| var margin calculation |
| value at risk formula cfa |
| tail value at risk formula |
| how to find value at risk |
| value at risk computation |
| conditional var formula |
| var risk calculation |
| parametric var calculation |
| portfolio var calculation |
| portfolio value at risk formula |
| value at risk formula example |
| credit valuation adjustment calculation |
| how to calculate historical var |
| credit value at risk formula |
| credit var calculation excel |
| market risk var calculation |
| credit value adjustment formula |
| calculate cvar in excel |
| monte carlo var calculation |
| credit valuation adjustment formula |
| how to calculate portfolio var |
| marginal var calculation |
| variance covariance var formula |
| calculate var of portfolio |
| how to calculate certainty equivalent and risk premium |
| value at risk formula normal distribution |
| value at risk how to calculate |
| cvar formula statistics |