Risk Management
Value at Risk (VaR) and Expected Shortfall (CVaR) calculator.
Risk Parameters
Result
Value at Risk (VaR) and Expected Shortfall (CVaR) calculator.
Value at Risk (VaR)
$4,914.94
$4,914.94 (4.91% % of portfolio)
Conditional VaR (CVaR)
$6,163.53
Expected loss beyond VaR cutoff
Deterministic Stress Scenarios
Mechanical portfolio-value shocks with no assigned probability. They do not use volatility, horizon, or confidence and are not forecasts.
| Scenario | Shock | Loss | Value After Shock | Loss / VaR |
|---|---|---|---|---|
| Moderate decline | -5.00% | $5,000.00 | $95,000.00 | 1.02x |
| Severe decline | -10.00% | $10,000.00 | $90,000.00 | 2.03x |
| Extreme decline | -20.00% | $20,000.00 | $80,000.00 | 4.07x |
Return Distribution
Normal distribution of potential portfolio returns