# Tag Info

You don't really have a multivariate case: we can only define VaR (in its usual sense) for a one-dimensional output. Recall that $$\operatorname{VaR}_\alpha(X) = \inf\{v:F_X(v)\geq \alpha\}$$ and since in your case $X = X_1+X_2$ you just need to compute $F_X$ in terms of $X_1$ and $X_2$. For the notation of partial derivatives, I denote the generic ...