How to use this calculator
- Enter historical period returns (%), confidence (%), current portfolio value.
- Choose a display currency, then select Calculate. Results also update after a brief pause while you edit.
- Read the result with the assumptions below. Export details or save a second scenario to compare your choices.
Formula and method
Assumptions and limitations
Use your own matching-period observations. These descriptive calculations are not forecasts, investment advice or a national dataset. Lists accept up to 100 comma-separated numbers; do not enter thousands separators. No time scaling. Threshold and tail loss are floored at zero. Small samples are unstable; losses may exceed the estimate.
Worked example
For the sample inputs shown above, historical value at risk produces a first result of approximately 500. The assumptions below explain what this result represents.
What the result means
Inspect a historical loss threshold and empirical tail average without assuming a normal return distribution.
Common questions
How is the calculation performed?
Loss samples = −return × portfolio; VaR uses nearest-rank loss percentile ceil(confidence×n); tail mean averages losses at or above that rank.
What does the model leave out?
Use your own matching-period observations. These descriptive calculations are not forecasts, investment advice or a national dataset. Lists accept up to 100 comma-separated numbers; do not enter thousands separators. No time scaling. Threshold and tail loss are floored at zero. Small samples are unstable; losses may exceed the estimate.
Methodology and transparency
Calculation specification reviewed on 2026-10-14. Mathematical implementation is tested against independent reference fixtures. This does not imply review by a licensed financial professional. Read the testing and precision policy.
Background reference: www.itl.nist.gov — financial method. FinanceMath implements its own calculator.