VaR histórico 99%
- Created by
- Renato Passos, Eng. de Software
- Reviewed by
- Renato Passos, Eng. de Software
Last updated: Apr 18, 2026
About this calculator
The 99% Historical VaR calculator estimates the maximum potential loss in an investment portfolio, based on historical data. It calculates the 1st percentile of losses, meaning the amount the investor would lose in 1% of the worst historical scenarios. This method does not predict future risks but analyzes past returns to determine risk exposure.
It works by collecting historical data on assets or portfolios, sorting them from worst to best performance, and identifying the value corresponding to the 1st percentile. For example, if in 1% of observations the portfolio lost more than $10,000, the 99% VaR would be this value. It's a straightforward tool to assess risk in investment contexts.
Use this calculator to evaluate asset volatility, compare investment strategies, or set risk limits. However, note that historical VaR might underestimate risks during periods without extreme events in the historical data. It also does not account for abrupt market changes not present in the analyzed period.
For better results, combine VaR with other metrics like parametric VaR or stress-testing. Additionally, historical data should cover a long enough period to include past crises, ensuring more accurate risk analysis.
Frequently asked questions
How does 99% Historical VaR differ from other VaR versions?
Historical VaR uses actual past data, while parametric versions assume statistical distributions or simulations. Historical VaR is more transparent but less flexible for non-historical scenarios.
What historical data should I use for accuracy?
Use price or return data for assets with at least 1-3 years of history, including volatile and crisis periods to capture extreme risks.
Why is 99% confidence common in financial risk?
The 99% (or 1% chance of loss) is a regulatory and market standard that balances sensitivity to rare events with computational feasibility.
Can it fail to predict future losses?
Yes, as it relies solely on the past. If new risk factors emerge or unprecedented crises occur, historical VaR will not account for them.
How to interpret negative results?
Negative values represent losses in local currency. The larger the absolute value, the higher the portfolio risk in crisis scenarios.