⚠️ Value at Risk (VaR) Calculator
Parametric VaR estimate
Formula
VaR = V · (z·σ − μ)
For 1 period; extend to multiple periods with √T scaling (σ) and T·μ
Frequently Asked Questions
What distribution?
This parametric approach assumes normal returns; tail risk may be understated.
Which period?
Match μ and σ to your chosen horizon (e.g., daily, weekly).