Learn how to calculate Value at Risk (VaR) to effectively assess financial risks in portfolios, using historical, variance-covariance, and Monte Carlo methods.

Value at Risk Formula As with many financial applications, the formula sounds easy as it only has a few inputs. However, manually calculating the VaR for a large portfolio is computationally intense.

This is because it’s largely associated with risk tied to profit and loss. Beyond a year, larger risk factors come into play and VaR can’t always account for them. That’s why, for long-term ...

This work compares several methods currently used for estimating dynamic initial margin and future value-at-risk, including nested Monte Carlo, Delta-Gamma, Johnson moment matching, Johnson percentile ...

A version of this article appears in print on May 11, 2010, Section B, Page 2 of the New York edition with the headline: A Finer Formula for Assessing Risk. Order Reprints | Today’s Paper ...

For a given time series of daily losses that display volatility clustering, the exact next- day and ten-day value-at-risk (VaR) and expected shortfall (ES) are unknown. The usual procedure is to ...

Carole Bernard, Ludger Rüschendorf, Steven Vanduffel, Value-at-Risk Bounds With Variance Constraints, The Journal of Risk and Insurance, Vol. 84, No. 3 (September 2017), pp. 923-959 ...

Amidst the current market turmoil due to the COVID-19 pandemic, it is timely to examine the performance of different Value-at-Risk (VaR) models over the long-term and in previous times of crisis.