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Value at Risk calculator
Put a dollar figure on your downside. Position size, daily volatility and a confidence level give you the loss your position shouldn't exceed on a normal day.
Value at Risk–
VaR % of position–
Z-score used1.6449
The most you'd expect to lose on this position over the horizon, at the chosen confidence: e.g. at 95%, losses should stay under this figure 19 days out of 20.
Parametric VaR assumes normally-distributed returns. It's a statistical estimate under normal conditions, not a guaranteed loss limit. Real tails are fatter.
Free to use, no signup. Educational tool, not financial advice.
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