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Discrete loss VaR and expected shortfall calculator

Enter matched probabilities and losses to calculate VaR, expected shortfall and the included worst-tail mass.

Omni Finance AcademyBy Omni Finance Academy
Lower loss quantile (VaR)
10 loss units
Expected shortfall
30 loss units
Selected worst-tail probability
10 %
Loss probability strictly above VaR
5 %
Loss probability at or above VaR
30 %
Mean of the whole loss model
2 loss units

Positive inputs are losses; negative inputs are gains. VaR uses the lower cumulative loss quantile. Expected shortfall averages exactly the worst selected tail mass, including a fraction of a boundary loss when necessary. All inputs share one horizon and loss unit; no horizon scaling, forecasting or regulatory-capital calculation is performed.

02040-10050Loss unitsProbability (%)02040-10050Loss unitsProbability (%)
Loss probability and selected tail mass

Each bar uses the declared loss model. Tail bars show the portion of probability included in the expected-shortfall average, not a second independent distribution. This is an illustrative example.

  • Whole-model probability
  • Included tail probability
View the chart values
Loss probability and selected tail mass: underlying values
SeriesLoss unitsProbability (%)
Whole-model probability-1030
Whole-model probability040
Whole-model probability1025
Whole-model probability505
Included tail probability-100
Included tail probability00
Included tail probability105
Included tail probability505
View loss and tail allocation
Declared loss model and selected tail
Loss unitsModel probability (%)Cumulative probability (%)Included tail probability (%)
-1030300
040700
1025955
5051005
On this page

Enter one compatible loss record

Use 2–100 comma-separated probabilities and losses in matching order. Probabilities are percentages and must total 100%. Positive loss values mean losses; negative values mean gains. Every loss uses one common unit and horizon. Confidence is supported from 50% through 99.99%.

Read the declared convention

VaR is the lower loss quantile: the smallest loss whose cumulative probability reaches the confidence level. Identical loss amounts are grouped by adding their probabilities. This is not an interpolated sample percentile.

Inspect the selected mass

Expected shortfall averages exactly the worst 1−confidence probability mass. The allocation can include only part of a boundary outcome. The table reports original probabilities, cumulative probabilities and included-tail probabilities so the denominator can be checked.

Use the original default record

Losses −10/0/10/50 and probabilities 30/40/25/5 percent at 90% confidence give VaR 10, ES 30 and full-model mean loss 2. Strictly above VaR has 5% probability, while at or above it has 30%. The selected ES tail is 10%.

Keep the calculation separate from estimation

The tool summarises entered assumptions. It does not infer exposure repricing, choose sample weights, scale horizons, forecast outcomes or implement regulatory capital. A single positive-probability loss produces a constant model and does not require a distribution chart.

Further references