About the VaR Calculator
What is the VaR Calculator?
Value at Risk (VaR) answers the question: “How much could this portfolio lose over a given period in a bad, but not extreme, scenario?” A 5-day 95% VaR of ₹1 lakh means there is a 5% chance of losing more than ₹1 lakh over five days.
Enter the portfolio value, its daily volatility (standard deviation of daily returns), the confidence level and the holding period in days. The calculator uses the parametric (variance-covariance) method with the normal distribution.
How to use the VaR Calculator
- Portfolio Value (INR) (sample: 15,00,000)
- Daily Volatility (%) (sample: 1.8)
- Confidence Level (sample: 95%)
- Holding Days (sample: 5)
- Press Estimate VaR (results also refresh as you type). The result card shows the Value at Risk, along with Confidence Level, Expected Move and Holding Days.
Formula used
VaR = Portfolio value × σ_daily × z × √Days
- z = 1.2816 at 90%, 1.6449 at 95% and 2.3263 at 99% confidence
- Expected move = Portfolio value × σ_daily × √Days (one standard deviation)
The √Days scaling assumes independent daily returns. Real markets have fatter tails, so actual losses can exceed VaR more often than the confidence level suggests.
Worked example
These are the sample values already filled in the calculator above, and the result it returns for them:
| Input | Sample value |
|---|---|
| Portfolio Value (INR) | 15,00,000 |
| Daily Volatility (%) | 1.8 |
| Confidence Level | 95% |
| Holding Days | 5 |
| Result | Value |
|---|---|
| Value at Risk | ₹99,309 |
| Confidence Level | 95% |
| Expected Move | ₹60,374 |
| Holding Days | 5 |
Tips for using the VaR Calculator
- Indian equity indices typically have daily volatility of about 0.8–1.5%; individual stocks 1.5–3%.
- Pair VaR with stress tests of crash scenarios such as 2008 or March 2020.
- VaR says nothing about how large losses beyond it can be — look at expected shortfall for that.