99% daily VaR on 100,000
Default inputs: position 100,000, 3% daily volatility, 99% confidence. The 99% z-score is about 2.326.
- VaR
- 6,979.04
- Percent of position
- 6.98%
VaR Calculator
Estimate the theoretical maximum loss on a position over a chosen horizon and confidence level, assuming normally distributed returns.
Enter position size, the volatility that matches that horizon, and a confidence level between 90% and 99.9%. Convert a volatility from another period before you type it here if needed. Figures are theoretical and for information only.
Results
- Value at Risk
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How parametric VaR is calculated
VaR answers: over this horizon, and with this confidence, how large a loss is the model willing to call the worst case? Here the model is a normal distribution with mean zero and the volatility you typed.
VaR = σ × Φ−1(c) × Position
- σ — volatility for the same horizon, in decimal form (percent ÷ 100)
- c — confidence level (for example 0.99)
- Φ−1 — inverse standard normal (z-score); about 1.645 at 95% and 2.326 at 99%
- Position — mark-to-market size of the holding
The result rounds to two decimals. The percent-of-position figure in the explanation is 100 × VaR / position, also rounded to two decimals. Volatility is not scaled inside this page — a 3% daily number stays 3% daily.
Worked examples
These three cases use the same z-scores and rounding as the calculator. Type the inputs in and you should get the same VaR.
95% annual VaR on 100,000
Same size, 20% annual volatility, 95% confidence. The 95% z-score is about 1.645, so a fat annual vol produces a large VaR.
- VaR
- 32,897.07
- Percent of position
- 32.90%
99.9% daily VaR on 1,000,000
Position 1,000,000, 1.5% daily volatility, 99.9% confidence. A higher z-score (about 3.090) offsets the lower vol.
- VaR
- 46,353.48
- Percent of position
- 4.64%
Related calculators on this site
VaR needs a horizon-matched volatility. Convert a daily or annual number first, or use the same vol in an option price instead of a loss estimate.
Value at Risk FAQ
This is parametric VaR under a normal-distribution assumption. The calculator takes the inverse standard normal at your confidence level (the z-score), multiplies by the volatility you entered as a decimal, and multiplies by position size. The result is rounded to two decimals.
No. Enter volatility that already matches the horizon: daily vol for a one-day VaR, weekly vol for a one-week VaR, annual vol for a one-year VaR. Convert a number from another tenor with the volatility converter first.
The slider runs from 90% to 99.9%. Common choices are 95% and 99%. A higher confidence level uses a larger z-score and therefore a larger VaR.
Neither. There is no return history and no simulated path. The only assumption is that returns are normal with the volatility you type in. Fat tails, skew, and portfolio diversification are not modelled.
No. The formula is volatility times z-score times position. Mean return is taken as zero over the horizon, which is a common short-horizon simplification.
Production VaR often uses historical simulation, a t-distribution, a volatility floor, liquidity add-ons, or a full covariance matrix. Rounding and the z-score table can also differ. Figures here are theoretical and for information only. If you need an option price rather than a loss estimate, see the vanilla / binary options calculator.
Disclaimer: the contents of this website are for informational purposes only and do not constitute any investment recommendation. The visitor acts at his own risk.