Whether you are estimating on the spot or checking a result somebody else gave you, the value at risk (va r) calculator is the quickest way to get from timeframe, expected return, portfolio value, standard deviation, which var are you calculating? and enter z-score corresponding to the desired var to var.
What Is the Value at Risk (Va R) Calculator?
The value at risk (va r) calculator takes timeframe, expected return, portfolio value, standard deviation, which var are you calculating? and enter z-score corresponding to the desired var and turns them into var.
It is the kind of calculation you would otherwise do on the back of an envelope: mechanical, repeatable and easy to get subtly wrong without noticing.
How the Value at Risk (Va R) Figure Is Built
Each result is calculated from the ones before it, so the working is fully visible. That matters when the answer is going to be quoted to somebody else and you need to be able to explain where it came from.
The figures are exactly as good as the assumptions underneath them. Check the rates, the periods and the tax treatment before you rely on the result.
Reading the Result Sensibly
A small change in an input can move the result by much more than you would expect, particularly where the calculation divides by one of the figures you supplied. That is worth understanding before you rely on a figure.
For anything that will be committed to, write the inputs down beside the result. A number you can reproduce is worth far more than one you cannot explain.
A Worked Example
Working through an example, with timeframe set to 10, expected return set to 5, portfolio value set to 2, the calculator returns var of 800.81, and var (value at risk other) of 6,314.56. Substitute your own figures and the same steps produce the same kind of answer.
Frequently Asked Questions
What do I need to work out var?
Enter timeframe, expected return, portfolio value, standard deviation, which var are you calculating? and enter z-score corresponding to the desired var. The calculator then works through the relationship and reports var.
What does the value at risk (va r) actually calculate?
It takes timeframe, expected return, portfolio value, standard deviation, which var are you calculating? and enter z-score corresponding to the desired var and converts them into var using the standard relationship for this problem. Each step is applied in turn, so every output is traceable back to the numbers you typed in.
How should I enter timeframe?
Use the value you actually have, in the unit shown next to the field. Enter every value in the same unit system. The calculator assumes the figures you supply are consistent, so it cannot correct a mistake that happens before the calculation starts.
Does anything you type get stored?
No. The whole calculation runs inside your browser, and nothing you enter is uploaded, logged or sent anywhere.
Why does a small change in one value move the answer so much?
That happens when an output depends on a ratio, because dividing by a small number magnifies any change in it. Check the units first, then check whether the value you entered is in the range the relationship was designed for.