Calculate your crypto portfolio's 95% CVaR, Value-at-Risk, and liquidation probability — using real volatility data from the last 90 days. Free. No signup required.
Loading 90-day volatility from Binance...
BTC Allocation40%
ETH Allocation35%
SOL Allocation25%
Leverage3×
Portfolio Size (USD)
Time Horizon
Risk Assessment
--
Risk Level
VaR (95%)
$--
CVaR (95%)
$--
Liquidation Prob.
--%
Liq. Distance
--%
Portfolio Vol (Ann.)
--%
Max Drawdown Est.
--%
Risk Contribution by Asset
BTC--
ETH--
SOL--
Stress Test — Your Portfolio During Historical Crashes
Black Thursday
March 2020
$--
--% drawdown
China Ban Crash
May 2021
$--
--% drawdown
Luna / 3AC
June 2022
$--
--% drawdown
FTX Collapse
Nov 2022
$--
--% drawdown
Yen Carry Unwind
Aug 2024
$--
--% drawdown
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Methodology
This calculator uses the parametric (variance-covariance) approach to estimate portfolio risk:
Fetches 90 days of daily closing prices from Binance spot API for BTC, ETH, and SOL.
Calculates daily log returns and builds the full covariance matrix.
Portfolio variance: σ²_p = w′Σw where w = weight vector, Σ = covariance matrix.
VaR(95%) = V × L × σ_p × √h × 1.6449 (z-score for 95th percentile).
CVaR(95%) = V × L × σ_p × √h × φ(z)/(1−α) where φ is the standard normal PDF. This gives the expected loss given that VaR is breached.
Liquidation probability uses the reflection principle: P ≈ 2 × Φ(−(1/L) / (σ_p × √h)) to estimate the probability of cumulative drawdown exceeding 1/leverage over the horizon.
Limitations: Assumes normally distributed returns (crypto has fat tails), constant correlations, and no path-dependent liquidation mechanics. Real risk is likely higher than reported — use these numbers as a floor, not a ceiling. Request access for our full regime-adjusted CVaR model.