Value At Risk (VAR) Calculator

Enter the expected weighted return, z-score, standard deviation, and the total value of a portfolio to calculate the value at risk.

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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value at risk formula

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