Value at Risk Calculator

✖Mean of Profit and Loss is the average of the given numbers and is calculated by dividing the sum of given numbers by the total number of numbers.ⓘ Mean of Profit and Loss [μPL]			+10% -10%
✖Standard Deviation of Profit and Loss helps you measure the volatility factor of a fund.ⓘ Standard Deviation of Profit and Loss [σPL]			+10% -10%
✖A Standard Normal Variate is a normally distributed random variable with mean μ=0 and standard deviation σ=1.ⓘ Standard Normal Variate [z_α]			+10% -10%

✖Value at Risk (VaR) is a general measure of risk developed to equate risk across products and to aggregate risk on a portfolio basis.ⓘ Value at Risk [VaR]

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Formula

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Value at Risk

Formula

`"VaR" = -"μPL"+"σPL"*"z"_{"α"}`

Example

`"27.48"=-"12"+"24"*"1.645"`

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Value at Risk Solution

STEP 0: Pre-Calculation Summary

Formula Used

Value at Risk = -Mean of Profit and Loss+Standard Deviation of Profit and Loss*Standard Normal Variate
VaR = -μPL+σPL*z_α
This formula uses 4 Variables

Variables Used

Value at Risk - Value at Risk (VaR) is a general measure of risk developed to equate risk across products and to aggregate risk on a portfolio basis.
Mean of Profit and Loss - Mean of Profit and Loss is the average of the given numbers and is calculated by dividing the sum of given numbers by the total number of numbers.
Standard Deviation of Profit and Loss - Standard Deviation of Profit and Loss helps you measure the volatility factor of a fund.
Standard Normal Variate - A Standard Normal Variate is a normally distributed random variable with mean μ=0 and standard deviation σ=1.

STEP 1: Convert Input(s) to Base Unit

Mean of Profit and Loss: 12 --> No Conversion Required
Standard Deviation of Profit and Loss: 24 --> No Conversion Required
Standard Normal Variate: 1.645 --> No Conversion Required

STEP 2: Evaluate Formula

Substituting Input Values in Formula

VaR = -μPL+σPL*z_α --> -12+24*1.645

Evaluating ... ...

VaR = 27.48

STEP 3: Convert Result to Output's Unit

27.48 --> No Conversion Required

FINAL ANSWER

27.48 <-- Value at Risk

(Calculation completed in 00.004 seconds)

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Credits

Created by Kashish Arora

Satyawati College (DU), New Delhi

Kashish Arora has created this Calculator and 50+ more calculators!

Verified by Vishnu K

BMS College of Engineering (BMSCE), Bangalore

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< 22 Investment Calculators

Portfolio Standard Deviation

Go Portfolio Standard Deviation = sqrt((Asset Weight)^2*Variance of Returns on Assets 1^2+(Asset Weight)^2*Variance of Returns on Assets 2^2+2*(Asset Weight*Asset Weight*Variance of Returns on Assets 1*Variance of Returns on Assets 2*Portfolio Correlation Coefficient))

Portfolio Variance

Go Portfolio Variance = (Asset Weight)^2*Variance of Returns on Assets 1^2+(Asset Weight)^2*Variance of Returns on Assets 2^2+2*(Asset Weight*Asset Weight*Variance of Returns on Assets 1*Variance of Returns on Assets 2*Portfolio Correlation Coefficient)

Jensen's Alpha

Go Jensen's Alpha = Annual Return on Investment-(Risk Free Interest Rate+Beta of the Portfolio*(Annual return of the market benchmark-Risk Free Interest Rate))

Compound Interest

Go Future Value of Investment = Principal Investment Amount*(1+(Annual Interest Rate/Number of Periods))^(Number of Periods*Number of Years Money is Invested)

Certificate of Deposit

Go Certificate of Deposit = Initial Deposit Amount*(1+(Annual Nominal Interest Rate/Compounding Periods))^(Compounding Periods*Number of Years)

Actuarial Method Unearned Interest Loan

Go Actuarial Method Unearned Interest Loan = (Number of Remaining Monthly Payments*Monthly Payment*Annual Percentage Rate)/(100+Annual Percentage Rate)

Equivalent Annual Annuity

Go Equivalent Annuity Cashflow = (Rate per Period*(Net Present Value (NPV)))/(1-(1+Rate per Period)^-Number of Periods)

Portfolio Expected Return

Go Portfolio Expected Return = Asset Weight*(Expected Return on Asset 1)+Asset Weight*(Expected Return on Asset 2)

Total Stock Return

Go Total Stock Return = ((Ending Stock Price-Initial Stock Price)+Dividend)/Initial Stock Price

Annuity Payment

Go Annuity Payment = (Rate per Period*Present Value)/(1-(1+Rate per Period)^-Number of Periods)

Value at Risk

Go Value at Risk = -Mean of Profit and Loss+Standard Deviation of Profit and Loss*Standard Normal Variate

Profitability Index

Go Profitability Index (PI) = (Net Present Value (NPV)+Initial Investment)/Initial Investment

Sharpe Ratio

Go Sharpe Ratio = (Expected Portfolio Return-Risk Free Rate)/Portfolio Standard Deviation

Capital Gains Yield

Go Capital Gains Yield = (Current Stock Price-Initial Stock Price)/Initial Stock Price

Treynor Ratio

Go Treynor's Ratio = (Expected Portfolio Return-Risk Free Rate)/Beta of the Portfolio

Average Return on Investment

Go Average Return = modulus(Total Value of Return)/Total Number of Returns

Information Ratio

Go Information Ratio = (Portfolio Return-Benchmark Return)/Tracking Error

Rate of Return

Go Rate of Return = ((Current Value-Original Value)/Original Value)*100

Straight Line Depreciation

Go Straight Line Depreciation = (Asset's Cost-Salvage)/Life

Portfolio Turnover Rate

Go Porfolio Turnover Rate = (Total Sales and Purchases of Shares/Average Net Assets)*100

Real Rate of Return

Go Real Rate of Return = ((1+Nominal Rate)/(1+Inflation Rate))-1

Risk Premium

Go Risk Premium = Return on Investment (ROI)-Risk Free Return

Value at Risk Formula

Value at Risk = -Mean of Profit and Loss+Standard Deviation of Profit and Loss*Standard Normal Variate
VaR = -μPL+σPL*z_α

What is Value at Risk?

Value-at- Risk (VaR) is a general measure of risk developed to equate risk across products and to aggregate risk on a portfolio basis. VaR is defined as the predicted worst-case loss with a specific confidence level (for example, 95%) over a period of time (for example, 1 day). For example, every afternoon, J.P. Morgan takes a snapshot of its global trading positions to estimate its DEaR (Daily-Earnings-at-Risk), which is a VaR measure defined as the 95% confidence worst-case loss over the next 24 hours due to adverse price moves.

How to Calculate Value at Risk?

Value at Risk calculator uses Value at Risk = -Mean of Profit and Loss+Standard Deviation of Profit and Loss*Standard Normal Variate to calculate the Value at Risk, The Value at Risk formula is defined as a general measure of risk developed to equate risk across products and to aggregate risk on a portfolio basis. Value at Risk is denoted by VaR symbol.

How to calculate Value at Risk using this online calculator? To use this online calculator for Value at Risk, enter Mean of Profit and Loss (μPL), Standard Deviation of Profit and Loss (σPL) & Standard Normal Variate (z_α) and hit the calculate button. Here is how the Value at Risk calculation can be explained with given input values -> 27.48 = -12+24*1.645.

FAQ

What is Value at Risk?

The Value at Risk formula is defined as a general measure of risk developed to equate risk across products and to aggregate risk on a portfolio basis and is represented as VaR = -μPL+σPL*z_α or Value at Risk = -Mean of Profit and Loss+Standard Deviation of Profit and Loss*Standard Normal Variate. Mean of Profit and Loss is the average of the given numbers and is calculated by dividing the sum of given numbers by the total number of numbers, Standard Deviation of Profit and Loss helps you measure the volatility factor of a fund & A Standard Normal Variate is a normally distributed random variable with mean μ=0 and standard deviation σ=1.

How to calculate Value at Risk?

The Value at Risk formula is defined as a general measure of risk developed to equate risk across products and to aggregate risk on a portfolio basis is calculated using Value at Risk = -Mean of Profit and Loss+Standard Deviation of Profit and Loss*Standard Normal Variate. To calculate Value at Risk, you need Mean of Profit and Loss (μPL), Standard Deviation of Profit and Loss (σPL) & Standard Normal Variate (z_α). With our tool, you need to enter the respective value for Mean of Profit and Loss, Standard Deviation of Profit and Loss & Standard Normal Variate and hit the calculate button. You can also select the units (if any) for Input(s) and the Output as well.

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