VaRCalc — Multi-Method Value at Risk Calculator
VaRCalc is a compact risk laboratory that goes beyond delivering a single VaR number. Instead of relying on one approach, the tool evaluates risk arising from returns of a single asset or a multi-asset portfolio using four complementary methods — Historical, Parametric, Monte Carlo, and Cornish-Fisher — allowing you to compare how different modelling assumptions affect risk estimates.
What makes VaRCalc particularly useful is its methodological depth: the ability to choose between simple and logarithmic returns, set the initial investment and confidence level, apply horizon-aware risk scaling, and control the number of Monte Carlo simulations. The calculator also integrates validation through the Kupiec coverage test together with descriptive statistics and visual diagnostics.
Accessibility
VaRCalc is a web-based interactive tool hosted online and accessible in any modern browser without installation — no download or setup required. The interface is mouse-driven. Users upload a CSV file with asset returns and all results are displayed directly in the browser. The accompanying PDF documentation is text-selectable and compatible with screen readers.
VaRCalc is provided for educational purposes only and does not constitute financial advice. Use at your own risk. Unauthorized embedding or reproduction of this tool without prior written permission of the author is prohibited.