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Value at Risk (VaR) Simulator

Portfolio Risk Measurement Visualizer

Value at Risk (VaR) answers a simple question: "What is the worst loss I can expect over a given time period, with a certain level of confidence?" It is the standard metric used by banks, hedge funds, and regulators to measure market risk.

For example, a VaR of HK$1 million at 95% confidence means there is only a 5% chance the portfolio will lose more than HK$1 million in one day. Adjust the sliders below and watch how the risk profile changes.

Portfolio Parameters

HK$100M
0.05%
8%
95%
10 days

Risk Metrics

VaR (Absolute HK$)
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ฮผ โˆ’ Zฮฑ ยท ฯƒ ยท โˆšT
VaR (Percentage)
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VaR as % of portfolio
Expected Shortfall (CVaR)
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Avg loss beyond VaR
Z-Score
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Critical value for confidence level

Interpretation

    Common Z-Scores

    Confidence Level Z-Score Interpretation
    90%1.28In 1 out of 10 days, loss exceeds VaR
    95%1.645In 1 out of 20 days, loss exceeds VaR
    97.5%1.96In 1 out of 40 days, loss exceeds VaR
    99%2.33In 1 out of 100 days, loss exceeds VaR
    99.5%2.58In 1 out of 200 days, loss exceeds VaR
    99.9%3.09In 1 out of 1,000 days, loss exceeds VaR