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Value at Risk Calculator

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✖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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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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Created by Kashish Arora

Satyawati College (DU), New Delhi

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Value at Risk Formula

LaTeX Go

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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