VaR paramétrico (95%)

The Parametric VaR (95%) Calculator is a tool used to estimate the risk of loss of an investment portfolio. It is based on the assumption that asset returns follow a normal distribution. The parametric VaR is calculated using the formula μ − 1.65σ, where μ is the mean return and σ is the standard deviation.

This calculator uses the parametric approach, which assumes that the distribution of returns is normal and that population parameters are known. The value 1.65 is the quantile corresponding to the 95% confidence level, meaning there is a 5% probability that losses will exceed the calculated value. This implies that in 95% of cases, the expected loss will not exceed the indicated value.

Parametric VaR is widely used in finance to manage investment portfolio risk. However, it is essential to remember that this approach has limitations, such as the assumption of normality of returns and sensitivity to extreme events. Therefore, it is crucial to use this tool in conjunction with other risk metrics.

When using this calculator, it is essential to keep in mind that parametric VaR is only an estimate and not an exact prediction of future losses. Additionally, it is crucial to consider other factors, such as portfolio diversification and asset liquidity, to obtain a more comprehensive view of risk.