Var Approaches
This article provides a detailed exploration of three different approaches for calculating Value at Risk (VaR) – Historical, Variance-Covariance, and Monte Carlo Simulation. The analysis is based on Nifty data…
Monte Carlo Simulation Method to Calculate VaR
It is a computational technique extensively utilized in finance to assess the likelihood of various outcomes by running numerous random trials. In the context of financial risk management, it is…
Variance-Covariance Method to Calculate VaR
The Variance-Covariance approach is also known as the Delta-Normal approach. It assumes that the returns of the assets in the portfolio follow a normal distribution, which allows for a relatively…
Historical Simulation to Calculate VaR
Historical Simulation is a non-parametric method used to estimate Value at Risk (VaR). It involves sorting historical returns in ascending order and identifying the loss threshold corresponding to a desired…
VaR – The Risk Framework
Value At Risk (VaR) VaR – It is a measure of the amount that can be lost from the position, portfolio, desk, bank, etc. VaR is generally understood that quantifies…