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 |