Parametric Value at Risk Calculator

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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].

Contributed by: Grzegorz Szoniec (March 2014)
Open content licensed under CC BY-NC-SA


Snapshots


Details

Reference

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



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