The Value at Risk (VaR) is a method of calculating the potential loss of an asset at a given confidence level (e.g. 1 in 200 or 99.5%). The inputs for the VaR calculator are asset value, holding duration in days and daily volatility.
The VaR tool calculates in real time the value at risk for each asset. It also computes an aggregate VaR if there are two or more assets whose VaR needs to be simultaneously calculated.
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