Professional reference only — not financial, legal, regulatory, tax or investment advice. Material regulatory content is sourced to primary or official authorities wherever reasonably available and is current only as of the displayed Last Verified date. Always consult the underlying authoritative source before making a material professional decision. Full disclaimer

ToolsVaR / Expected Shortfall

VaR / Expected Shortfall

Historical left-tail quantile and Gaussian parametric VaR/ES from your P&L series. Negative P&L is a loss; reported VaR/ES are loss amounts. Not a capital figure.

Calculated in your browser. Inputs are not sent to our servers. Opt-in local save (below) keeps history only on this device.

Methodology fx-var-es

Inputs

Results

Enter inputs and calculate to see results.

Local save

Optional. History stays in this browser only — nothing is uploaded.

Allow saving calculations on this device