Value at Risk Comparator — Monte Carlo vs Parametric
Portfolio base:
100,000
Monte Carlo Simulation
Average annual return (μ) — in %
Annual Std dev (σ) — in %
Trading days / year
Confidence level
90%
95%
97.5%
99%
99.5%
99.9%
Number of simulations
*Number of simulations cannot exceed 200,000 to prevent browser issues.
Portfolio value
Horizon (days) — for multi-day VaR scaling
Run Monte Carlo
Parametric (Analytical) VaR
Average annual return (μ) — in %
Annual Std dev (σ) — in %
Trading days / year
Confidence level
90%
95%
97.5%
99%
99.5%
99.9%
Portfolio value
Horizon (days) — for multi-day VaR scaling
Compute Parametric VaR