Parametric Value at Risk Calculator

Value at Risk (VaR) is the theoretical worst loss (a maximum amount of money that may be lost) for a portfolio over a given time period at a particular confidence level. The parametric model, one of a few methods for VaR calculations, is accurate for linear assets for short time horizons. For details, see [1].


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[1] P. Best, Implementing Value at Risk, New York: Wiley, 1998.
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