What the Parametric Value at Risk Calculator is for
Estimate normal-model VaR from entered exposure, mean, volatility, horizon, and z-score.
It makes the prices, cash flows, rates, time periods, weights, and model conventions explicit so you can inspect an entered scenario without hidden live-market assumptions.
Calculation structure
Follow the stated model and units
VaR = exposure × max(z×volatility×√time − mean×time, 0).
Visual explanation
See how the inputs become the result
Assets and weightsReturn contribution
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Volatility and dependenceRisk estimate
VaR = exposure × max(z×volatility×√time − mean×time, 0).
Read the estimate correctly
Use the result within its boundaries
On 100,000 exposure, 1% daily volatility, zero mean, one day, and z 1.645, VaR is 1,645.
This normal-distribution scenario can materially understate tail risk. The calculator does not map confidence labels to z-scores or validate distribution fit.
Quick guide
How to use this calculator
Enter the exposure, market, accounting, probability, rate, or risk assumptions named by the fields.
Use consistent currencies, periods, share units, and percentage conventions.
Interpret the output only within the displayed model and limitations.
Calculation method
Calculation method
VaR = exposure × max(z×volatility×√time − mean×time, 0).
Fixed decimal scalar arithmetic remains exact until display. Square-root and compound projections are explicitly approximate and reject non-finite results.
Worked example
Worked example
On 100,000 exposure, 1% daily volatility, zero mean, one day, and z 1.645, VaR is 1,645.
VaR = exposure × max(z×volatility×√time − mean×time, 0).
Supported inputs
Precision and limits
Visible input limits
Fixed decimals accept 30 digits and 12 decimal places, with absolute values capped at 1e12 per input and general rates capped at 1000%. Formula-specific shares and probability limits are validated separately.
International scope
No currency, exchange, broker, live security data, accounting standard, tax jurisdiction, contract specification, or regulatory disclosure is selected automatically.
Decision boundary
Outputs are arithmetic scenarios, not forecasts, advice, suitability assessments, trading signals, fair-value opinions, risk guarantees, or recommendations.
Calculator-specific assumptions
This normal-distribution scenario can materially understate tail risk. The calculator does not map confidence labels to z-scores or validate distribution fit.
