Value at Risk (VaR)

Current Asset Value
Annualized Actual Volatility in %
Confidence level (Symbol of Sigma)
Holding Period

Click here for methodology

Methodology of Value at Risk (VaR)

VaR or Value at Risk measures maximum potential loss in value of an asset or portfolio over a defined period at a given confidence interval. VaR is used to estimate maximum downside risk of an investment.

Thus, if the VaR of an asset is Rs. 10 lakh for a week at 95% confidence level, then it means Rs. 10 lakh is the maximum potential loss expected during any given week in that asset at 95% confidence level. There is, however, a 5% chance that the value of the asset will change by more than Rs. 10 lakh during a week.

Underlying formula used for computation of VaR::

Market Value of the Asset * Confidence Factor * Volatility of the Holding Period



Need Assistance?

Please contact

+91 22 6731 8888
+91 22 6649 4151