VaR histórico 95%
- Created by
- Renato Passos, Eng. de Software
- Reviewed by
- Renato Passos, Eng. de Software
Last updated: Apr 18, 2026
About this calculator
The 95% Historical VaR calculator is a tool that estimates portfolio loss risk using historical data. It calculates the 5th percentile of past losses, meaning there is a 95% probability that losses will not exceed this value. This approach relies on the actual distribution of historical returns, sorting them to identify the worst-case scenario for the selected confidence level.
The calculation analyzes a historical return series (such as asset prices or returns) over a defined period. The data is sorted in ascending order, and the value at the 5th percentile is considered the VaR. This helps investors understand risk exposure in adverse scenarios based on past events.
This calculator is useful for assessing investment risk in contexts like portfolio management, asset analysis, or capital planning. However, it's important to note that historical VaR may not capture extreme events not recorded in the analyzed history. The accuracy of results depends on the breadth and relevance of the historical data provided.
Frequently asked questions
What is 95% Historical VaR?
It is a risk indicator estimating the maximum loss that could occur in the worst 5% of scenarios, based on historical data.
How does the calculator work?
It sorts historical returns and identifies the loss value at the 5th percentile, representing the risk threshold with 95% confidence.
When should this tool be used?
To assess investment risks, such as stock portfolios, funds, or specific assets, using real data from previous periods.
What are its limitations?
It cannot predict future events or crises not recorded in the history, potentially underestimating risks in unexpected scenarios.
Can I use data from any asset?
Yes, as long as the historical data provided is consistent and represents the behavior of the analyzed asset or portfolio.