VaR multi-horizonte
- Created by
- Renato Passos, Eng. de Software
- Reviewed by
- Renato Passos, Eng. de Software
Last updated: Apr 18, 2026
About this calculator
The multi-horizon VaR calculator estimates Value at Risk (VaR) across different timeframes using the formula VaR_d · √T. It scales risk assuming normally distributed, independent returns. Designed for portfolio managers and risk analysts projecting exposures across various temporal windows.
Works by multiplying daily VaR (VaR_d) by the square root of time periods (T). For instance, monthly VaR from daily data uses T = 22 (business days). The √T formula assumes volatility accumulates proportionally under stable market conditions.
Use this tool when comparing risks across distinct horizons, daily, weekly, or annual. Common in regulatory reports, capital allocation, and stress simulations. Caution: results are theoretical and may underestimate risks during extreme market events or return dependencies.
Requires high-quality historical data and hypothesis validation (normality, no autocorrelation). In volatile markets or crises, supplement with stress-testing or Conditional VaR. Always review outputs with sensitivity analysis.
Frequently asked questions
What is VaR and why is it important?
VaR measures the maximum expected loss in an asset over a period, at a confidence level. Vital for quantifying financial risk and allocation decisions.
How does the square root of time affect calculations?
The √T formula assumes risk grows with accumulated volatility, valid for independent, normally distributed returns.
Can I use the calculator for non-daily horizons?
Yes. For weekly or monthly horizons, adjust T to business days (e.g., 5 days for a week).
What if my data isn't normally distributed?
Results may be inaccurate. Consider methods like Conditional VaR or historical simulations instead.
Is the tool suitable for complex portfolios?
Validate results with complementary methods for portfolios with correlated assets or derivatives.