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 the portfolio
- Z is the z score
- STD is the standard deviation
- PV is the portfolio value
To calculate value at risk, multiply the standard deviation return by the z score, subtract this result from the expected weighted return, then finally multiply by 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.
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.