Value at Risk Calculator - Parametric Portfolio VaR

The Value at Risk calculator turns a focused set of financial inputs into a repeatable planning estimate. It estimates a loss threshold that should not be exceeded at a selected confidence level under a normal parametric return model, plus the average modeled loss beyond that threshold. The calculator is intended to make the arithmetic visible and consistent, not to replace source documents, professional advice, or a decision maker's judgment. Enter values from the same period and use the same units throughout. A result is only as reliable as the assumptions entered. The calculation follows this approach: Annual volatility scales by the square root of trading days divided by 252, expected return scales linearly, and an inverse-normal z score sets the confidence threshold. Conditional VaR uses the normal density divided by the tail probability. Percentages are entered as ordinary percentages, so 7.5 means 7.5%, and money values are treated as US dollars unless the interface says otherwise. Intermediate calculations retain full precision while displayed values are rounded for readability. Repeating the calculation with a low, central, and high assumption is often more informative than relying on one point estimate. Interpret the result in context. A one-day 95% VaR of $10,000 means the model expects losses to exceed $10,000 on about 5% of comparable days; it is not the maximum possible loss. Compare like with like: use consistent accounting definitions, matching time periods, and comparable scenarios. A favorable result does not automatically mean an option is affordable, low risk, or suitable. It simply answers the mathematical question represented by the inputs and formula. Important limitations remain. Normal distributions understate skew, jumps, volatility clustering, liquidity gaps, nonlinear derivatives, and changing correlations. Parameter estimates based on calm history may fail during stress, and overlapping multi-day horizons are not independent. Taxes, fees, timing, eligibility rules, market movements, contractual terms, and rounding can change an actual outcome. Historical averages and published thresholds can also become outdated. Verify material decisions against current official guidance, statements, lender disclosures, or records, and document the assumptions used. Risk teams can use the estimate as one metric alongside historical simulation, stress tests, scenario analysis, concentration limits, liquidity review, and governance controls. Start with realistic values, review every result label, and then change one input at a time to see what drives the outcome. This sensitivity check can reveal whether the answer depends on a fragile assumption. Save or record the date and inputs if the calculation will support a budget, analysis, or conversation with an adviser. The Value at Risk calculator provides an educational estimate and does not promise a future return, benefit, approval, price, or payment.