Value at Risk (VaR) Calculator

$$VaR = Z_{\alpha} \cdot \sigma \cdot \sqrt{h} \cdot P$$

Corresponding Z-Score: 1.65

Model Assumptions

• Asset returns are normally distributed
• Portfolio volatility is constant over the time horizon
• Portfolio is linear (no options or nonlinear payoffs)
• No fat tails, skewness, or jump risk
• Markets are liquid; positions can be closed instantly
• Historical volatility is a good proxy for future risk

⚠️ VaR may underestimate risk during periods of market stress.