Estimate downside risk from a series of returns - historical VaR, Conditional VaR (expected shortfall) and parametric VaR at 95% or 99% confidence. Paste your returns for instant results.
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How it works
Value at Risk answers: how bad could a normal-but-bad period be? Historical VaR reads it straight off your worst returns; CVaR (expected shortfall) averages the losses beyond that point; parametric VaR assumes a normal distribution. All are shown as a positive loss figure at your chosen confidence.
Historical VaR = -(the (1-c) percentile of sorted returns)
Parametric VaR = -(mu - z.sigma) , z = 1.645 (95%) or 2.326 (99%)
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This uses the same verified engine that powers the Quantora terminal. Open the terminal to run it on live market data, with charts and 95 other engines.
Computed in your browser with standard published formulas via Quantora's verified library. For analysis & education — not investment advice. Quantora is not a registered investment adviser or broker-dealer.