VaR Engine
10 • PARAMETRICASSETS (Weights must sum to 100%)
100% ✓
VOLATILITY PRESETS (annualized)
Major FX: 8%Crypto: 65%US Tech: 28%10Y Treasury: 6%
VaR (99%)
-$4,210
-4.21% of portfolio
PORT VOL (annual)
9.1%
diversified
DIV BENEFIT
28%
vs. undiversified
Correlation Matrix — Heatmap
Diversification benefit uses avg correlation 0.25-0.35. Lower = greener benefit.
+1 High Corr0-1 Inverse
Exposure & Contribution
| Asset | Weight | Vol | VaR Contrib |
|---|
What VaR Means
1-Day 95% VaR
-$1,050
should not exceed loss 19/20 days
10-Day 99% VaR
-$4,210
worst 1 in 100 ten-day periods
Expected Shortfall
~-$4,830
avg loss when VaR breached
Parametric VaR = z × σ_port × √(horizon/252) × Portfolio Value. Assumes normal returns. For fat tails (crypto), multiply by 1.5–2×.