# Questions tagged [var]

Value at Risk, a widely used risk measure of the risk of loss on a specific portfolio of financial assets.

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### Standard market risk platform Value-at-Risk (VaR)

if possible, could you share publicly available methodological guides/pamphlets or post links to specialised websites which give sufficient detail of the basic assumptions, algorithms and possible ...
63 views

### VaR using normal vol vS lognormal

We are using a vendor's software to calculate the Parametric VaR (using RiskMetrics approach) that take as input the volatility figure of the risk factors. The volatility used so far was the lognormal....
106 views

### Correlation for Trading vs. Risk Management

Assume a portfolio that contains some asset A and that I am contemplating hedging my delta in A by taking a position in asset B. I would determine how much of B to buy/sell based on the linear ...
43 views

### Is scaling the standard deviations in the VaR formula (parametric) equivalent to scaling the VaR figure at the end?

I have come across people calculating parametric VaR who scaled the standard deviations by say square root of 10 to scale up to a 10 day horizon. Elsewhere I have seen textbooks suggesting that it is ...
102 views

### Parametric VaR, Normality and Subadditivity

Good evening; I just have a simple question about Value at Risk and the subadditivity property, and I know that it may sound silly I got that, in general, VaR is not subadditive. However, if a ...
33 views

### what is a simple parametric VaR approach that can be used to compare with ISDA SIMM results?

i am looking for a simple parametric VaR approach that includes vega and/or gamma. i am not sure if to choose a non symmetric distribution for the pnl, what would people use, perhaps some shifted ...
28 views

### VAR Monte Carlo GBM vs Selecting Normal Dist Returns

I am running a VaR calculation and have seen two ways of doing it in several places online. One simply assumes normal distribution of returns and selects n number of returns from the normal ...
89 views