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62 lines
2.2 KiB
Markdown
Vendored
62 lines
2.2 KiB
Markdown
Vendored
---
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title: var
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description: Learn how to calculate the Value at Risk (VaR) of your portfolio using
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different parameters and statistical methods. This guide provides examples and an
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explanation of all the options.
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keywords:
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- Value at Risk
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- VaR
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- portfolio
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- portfolio return
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- Cornish-Fisher-Expansion
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- student-t distribution
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- percentile
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- VaR calculations
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- Historical VaR
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---
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import HeadTitle from '@site/src/components/General/HeadTitle.tsx';
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<HeadTitle title="portfolio/var - Reference | OpenBB Terminal Docs" />
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Provides value at risk (short: VaR) of the selected portfolio.
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### Usage
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```python
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var [-m] [-a] [-s] [-p PERCENTILE]
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```
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---
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## Parameters
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| Name | Description | Default | Optional | Choices |
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| ---- | ----------- | ------- | -------- | ------- |
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| use_mean | If one should use the mean of the portfolio return | True | True | None |
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| adjusted | If the VaR should be adjusted for skew and kurtosis (Cornish-Fisher-Expansion) | False | True | None |
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| student_t | If one should use the student-t distribution | False | True | None |
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| percentile | Percentile used for VaR calculations, for example input 99.9 equals a 99.9 Percent VaR | 99.9 | True | None |
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---
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## Examples
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```python
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2022 Feb 25, 03:09 (🦋) /portfolio/ $ var
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Portfolio Value at Risk
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┏━━━━━━━┳━━━━━━━━━┳━━━━━━━━━━━━━━━━━┓
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┃ ┃ VaR: ┃ Historical VaR: ┃
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┡━━━━━━━╇━━━━━━━━━╇━━━━━━━━━━━━━━━━━┩
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│ 90.0% │ -0.0148 │ -0.0135 │
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├───────┼─────────┼─────────────────┤
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│ 95.0% │ -0.0189 │ -0.0197 │
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├───────┼─────────┼─────────────────┤
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│ 99.0% │ -0.0267 │ -0.0258 │
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├───────┼─────────┼─────────────────┤
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│ 99.9% │ -0.0353 │ -0.0276 │
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└───────┴─────────┴─────────────────┘
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```
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---
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