Calculator

Terminal margin Value-at-Risk (VaR) & Expected Shortfall calculator

Electronic trading terminals and FIX pre-trade risk gateways enforce real-time margin limits using parametric Value-at-Risk (VaR) and Expected Shortfall (ES). This benchmark tool calculates book-level VaR and tail ES across custom liquidation horizons.

Value at Risk

83,415.53

8.34% of the position

Expected Shortfall: 95,566.21
Volatility over horizon: 3.59%

Formula

σ_h = σ_annual × √(Horizon_Days ÷ 252)

VaR_α = Notional × z_α × σ_h

ES_α = Notional × σ_h × φ(z_α) ÷ (1 − α)

How to use it

Input your open terminal book notional, annualised volatility, confidence threshold (95% or 99%), and liquidation horizon in trading days.

Compare parametric VaR against Expected Shortfall to calibrate terminal stop-out and margin-call buffers.

Assumptions and limits

Scales daily volatility by √T over 252 trading sessions per year.

Common questions

Why do institutional risk gateways monitor Expected Shortfall alongside VaR?

VaR only specifies the threshold of a 99% tail event, whereas Expected Shortfall quantifies the average equity depletion during a gap event that pierces the stop-out level.

For education only, not investment advice. Results depend entirely on the inputs and assumptions above; check important numbers independently.