Risk Management

Value at Risk (VaR) and Expected Shortfall (CVaR) calculator.

Risk Parameters

Portfolio Value ($)

Annual Volatility (%)

Time Horizon (Days)

Confidence Level

Result

Value at Risk (VaR) and Expected Shortfall (CVaR) calculator.

Value at Risk (VaR)

$4,916.01

$4,916.01 (4.92% % of portfolio)

Conditional VaR (CVaR)

$6,159.91

Expected loss beyond VaR cutoff

Return Distribution

Normal distribution of potential portfolio returns