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Just read some materials about SVaR. Is there only holding period that changes in comparison to VaR methodology?

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VaR gives us an idea of possible losses given our current portfolio and the markets as they are today. The idea behind stressed VaR is to get an idea of possible losses given more worse market conditions.

To do this we will "stress" the inputs such as volatilities, interest rates FX rates etc. Thus making them much more unfavorable than they really are.

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The most important difference is that the calculations are based on a "stressed" historical period in the markets as opposed to the most recent X number of years.

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Just found some interesting presentation from Morgan Stanley, about SVaR: Stress VaR and Systemic Risk Indicators and short video from OptimalMRM: Stressed VaR. Both helped to grasp differences between VaR and SVaR.

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The idea of historical VaR is that the chosen historical time frame gives the empirical probability distribution of changes in market variables. Generally each day's changes are equally weighted, but you can choose your weighting arbitrarily. See for example Meucci's Historical Scenarios with Fully Flexible Probabilities.

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