Hazard Index Calculator

Inputs

Portfolio value

Total value of the portfolio or book.

VaR (95%)

One-day or horizon VaR, same currency.

Exposure at risk (EAD)

Exposure used for expected loss estimate.

Probability of default (PD %)

Use an annual PD or aligned horizon.

Loss given default (LGD %)

Collateral and recovery assumptions.

Liquidity days

Estimated days to exit without heavy impact.

Operational risk score (0–10)

Controls, processes, and execution quality.

Top 5 concentration (%)

Share held by the five largest positions.

Include leverage factor

Leverage ratio (Debt/Equity)

Used to score balance-sheet amplification.

Include stress-loss factor

Stress loss (scenario)

Scenario loss used for stress sub-index.

Include FX factor

FX exposure (% of portfolio)

FX volatility (% annualized)

Proxy risk = exposure × vol / 100.

Include rates factor

Modified duration (years)

Rate shock (bps)

Proxy move ≈ duration × shock.

Include volatility factor

Annualized volatility (%)

Use realized or forecast volatility.

Include drawdown factor

Max drawdown (%)

Historical or scenario drawdown estimate.

Include counterparty factor

Largest counterparty exposure (%)

Use gross exposure or potential future exposure.

Auto-normalize weights

If enabled, weights are scaled to sum to 100%.

Weights (percent)

Market

Credit

Liquidity

Operational

Concentration

Leverage

Applied only if leverage is enabled.

Stress

Applied only if stress-loss is enabled.

FX

Applied only if FX is enabled.

Rates

Applied only if rates is enabled.

Volatility

Applied only if volatility is enabled.

Drawdown

Applied only if drawdown is enabled.

Counterparty

Applied only if counterparty is enabled.

Advanced scaling options

VaR max (% → 100)

EL max (% → 100)

Liquidity max (days → 100)

Leverage max (→ 100)

Stress max (% → 100)

FX proxy max (% → 100)

Rates proxy max (% → 100)

Vol max (% → 100)

Drawdown max (% → 100)

Counterparty max (% → 100)

Example data table

Sample inputs and outputs to demonstrate expected formatting.

Portfolio	VaR95	PD%	LGD%	LiqDays	Top5%	Vol%	Hazard	Band
1,000,000	50,000	2.0	45	7	35	18	~45	Moderate
2,500,000	120,000	1.2	35	10	50	14	~44	Moderate
800,000	90,000	4.0	60	18	70	28	~76	Severe

History and trend graph

Up to 25 recent calculations are kept in your session.

Time	Portfolio	VaR%	EL%	LiqDays	Top5%	Hazard	Band
No history yet. Run a calculation to populate this table.

Hazard index trend

Formula used

The calculator converts each risk driver into a 0–100 sub-index using a scale, then combines them using weights. Optional factors can be enabled and weighted for your workflow.

Core components

Market: VaR% scaled into 0–100 using a max threshold.
Credit: Expected Loss = EAD × PD × LGD; EL% scaled into 0–100.
Liquidity: Liquidity days scaled into 0–100.
Operational: Score 0–10 mapped into 0–100.
Concentration: Top 5 concentration % mapped into 0–100.
FX: Proxy = exposure% × vol% / 100, then scaled.
Rates: Proxy ≈ duration × shock(bps) / 10,000, then scaled.
Volatility, Drawdown, Counterparty: Direct scaling to 0–100.

Weighted hazard index

HI = Σ ( w_i / Σw ) × S_i

Where S_i is each sub-index (0–100) and w_i is its weight.

How to use this calculator

Enter portfolio value and your core risk inputs.
Enable optional factors that match your risk policy.
Set weights so the index reflects your priorities.
Press calculate to show results above the form.
Download CSV or PDF for your reporting package.

Risk index context for portfolio oversight

A hazard index consolidates multiple risk signals into one comparable score. This calculator normalizes each input to a 0–100 sub-index and then applies user-defined weights. The result supports consistent benchmarking across books, mandates, or reporting periods without forcing one metric to dominate every discussion.

Data inputs that matter most

Market risk is represented by VaR as a percent of portfolio value. Credit risk is captured through expected loss using exposure at risk, probability of default, and loss given default. Liquidity days approximate time-to-exit. Operational score reflects process reliability, while top-five concentration signals diversification strength.

Optional factors for broader coverage

Enable leverage when financing can amplify outcomes. Add stress-loss to reflect scenario testing. FX uses exposure multiplied by FX volatility as a proxy. Rates estimate price sensitivity from modified duration and an interest-rate shock. Volatility, drawdown, and counterparty concentration extend coverage for multi-asset and derivative portfolios.

Interpreting scores and thresholds

Scores below 30 generally indicate low combined hazard, while values above 75 imply severe risk pressure. A rising trend usually suggests deteriorating liquidity, higher volatility, larger stress losses, or increasing concentration. Use the sub-index bar chart to locate the primary driver before changing limits or hedges.

Operational use in reporting workflows

Record several scenarios, then export the history table to CSV or PDF for committee packs. Keep scaling thresholds stable to preserve comparability. Adjust weights only when the mandate changes, and document updates. Pair the trend chart with exposure and performance summaries to support clear decisions.

FAQs

1) What does the hazard index represent?
It is a weighted composite score from 0 to 100. Each risk input becomes a normalized sub-index, then weights combine them into a single hazard estimate for comparison.

2) Can I use different VaR horizons?
Yes. Use a consistent horizon for comparisons. If you switch from one-day to ten-day VaR, also review the VaR scaling maximum so the market sub-index remains meaningful.

3) How is expected loss calculated here?
Expected loss equals exposure at risk multiplied by probability of default and loss given default. The calculator converts this value to a portfolio percentage before scoring it.

4) Why do some optional factors show zero?
Optional factors contribute only when enabled. If a factor is disabled, its weight becomes zero and its sub-index is not included in the weighted hazard calculation.

5) What are scaling thresholds used for?
Scaling thresholds map a chosen “maximum” value to a score of 100. They control sensitivity. Lower thresholds make the index react faster; higher thresholds make it smoother.

6) Is this tool a substitute for risk models?
No. It is a practical dashboard metric for internal comparison and reporting. Use it alongside formal models, limits, and governance processes when making investment or credit decisions.