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…
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…