Value at Risk & expected shortfall calculator
In short
The threshold, the tail behind it, and the health warning.
Interactive: Value at Risk & expected shortfallMedium
The parametric measure, with the tail number the parametric measure leaves out.
- Value at Risk
- —
- VaR as % of book
- —
- Expected shortfall
- —
- ES as % of book
- —
- Expected breaches
- —
- Health warning
- —
Push the horizon to 10 days — the regulatory market-risk window — and watch the square-root-of-time scaling do the work. That scaling assumes returns are independent day to day; in a crisis they are anything but, which is why the number is always too small exactly when it matters.
The idea behind it
This calculator belongs to Risk Measures, where the mechanism it computes is explained step by step, with the formula, what each input means and where the simple model stops being right. Everything is computed in your browser; nothing you type is sent anywhere.
More calculators from Risk Measures
- Beta hedge ratio — how many index futures neutralise a stock book.
- Tracking error, information ratio & how long proof takes — and how many years proof actually takes.
- Three-asset portfolio risk — where risk shares stop matching weight shares.
- Scenario stress test — equities, rates and spreads shocked together.