Value At Risk

Returns the Value at Risk (VaR), which estimates the maximum potential loss over a given time horizon at a specific confidence level.

Examples

=ValueAtRisk()

When to Use

  • Risk management
  • Regulatory compliance
  • Position sizing

When NOT to Use

Scenario Use Instead
Drawdown analysis MaximumDrawdowns()
Volatility PortfolioVolatility()

Common Issues & FAQ

Q: What confidence level is used? A: Typically 95% or 99% confidence.

Get Access to 1 Billion Usable Market data points IN YOUR EXCEL SHEETS WITH EASY TO USE EXCEL FUNCTIONS

Get started today
MarketXLS Excel Add-in Tutorial - How to Use Value At Risk and Other Financial Formulas
▶
How does MarketXLS work?

Related Functions