Parameters
Value-at-Risk computed two ways from ~2 years (504 sessions) of simulated daily returns on the sample portfolio.
Method notes
Historical simulation — empirical percentile of realized daily portfolio returns, scaled by √horizon.
Parametric (variance-covariance) — assumes normally distributed returns; uses sample mean/σ and the inverse normal CDF.
Expected Shortfall (CVaR) — mean loss in the tail beyond the VaR cutoff; more sensitive to extreme moves than VaR alone.
Return distribution & VaR cutoffs
Histogram shows the full daily-return sample (504 sessions). Marker lines show where each method's daily-equivalent VaR cutoff falls on that distribution.
Simulation setup
Forward paths use correlated Geometric Brownian Motion across all six positions, sharing the same correlation matrix as the historical data.
Outcome summary
| Mean terminal value | — |
|---|---|
| 5th percentile | — |
| 95th percentile | — |
| Worst path | — |
| Best path | — |
| P(loss) | — |
| Paths simulated | — |
| Compute time | — |
Simulated portfolio paths
Faint lines are individual simulated paths (rendered at reduced resolution for performance). Bold lines mark the 5th / median / 95th percentile of all simulated outcomes at each time step.
Terminal value distribution
Scenario sliders
Instantaneous shock applied to today's portfolio using illustrative per-asset sensitivities (equity beta, rate duration, credit-spread widening).
Baseline vs. stressed value by position
Sample portfolio
Six well-known NSE (Nifty 50) large-caps across four sectors. Historical returns driving every VaR / Monte Carlo / stress-test calculation on this page are generated client-side from a fixed random seed (correlated GBM) — stable across reloads, but not real market history.
Live market data (optional)
Adds real, delayed last-traded prices next to each position via Twelve Data's free tier — free signup, no card, no billing anywhere in this flow. Purely informational: it never feeds the VaR / Monte Carlo / stress-test math above, which stays on the simulated history by design (blending a few live quotes into a synthetic-return model would look more "real" without actually being more correct).
Key is stored only in this browser's local storage — sent only to Twelve Data over HTTPS, never anywhere else. One request fetches all 6 positions at once; results are cached and reused for 5 minutes, and refreshes only happen on page load or when you click "Refresh now" — never on a background timer — to stay far under the free tier's 800/day, 8/min limits.
Trailing value (504 sessions)
Positions
| Position | Ticker | Weight | Value | Ann. Return (μ) | Ann. Vol (σ) | Last Price | Chg % |
|---|