Value at Risk (Historical)
Estimate the loss a position could see on a bad day, from a stock's own real price history — the empirical distribution, not a model or a forecast.
Enter a symbol to compute.
Value at Risk (VaR)
A Value at Risk (VaR) calculator estimates the maximum expected loss on a position over a given time horizon and confidence level, based on the stock's own historical price volatility.
VaR ≈ Position Value × Z-score(confidence level) × Daily Volatility × √(holding period in days), where the Z-score is 1.65 for 95% confidence or 2.33 for 99%.
Input: ₹1,00,000 position, 2% daily volatility, 95% confidence, 1-day horizon
Result: 1-day VaR ≈ ₹1,00,000 × 1.65 × 0.02 ≈ ₹3,300 — a 5% chance of losing more than this in one day, under the volatility assumption
Is VaR a worst-case loss estimate?
No — VaR is a statistical threshold at a chosen confidence level (e.g. 95%), meaning there's still a residual chance (5% at 95% confidence) of losing more than the VaR figure.
Does VaR account for a market crash / tail event?
Standard VaR based on historical volatility tends to understate risk during extreme, low-probability events — it's a risk-sizing tool for normal market conditions, not a crash predictor.
Value at Risk (VaR) Calculator: how it works
Value at Risk estimates the loss a portfolio is unlikely to exceed over a given horizon at a stated confidence level — for example, the worst day in 20 at 95% confidence.
Formula
VaR = portfolio value × z-score for the confidence level × volatility × √(holding period).