value at risk (var)

How is VaR Calculated?

There are several methods to calculate VaR, including the historical method, the variance-covariance method, and the Monte Carlo simulation.
Historical Method: This approach uses historical market data to simulate potential future losses. By analyzing past price movements, businesses can estimate the value at risk.
Variance-Covariance Method: This method assumes that asset returns are normally distributed and calculates VaR using the mean and standard deviation of historical returns.
Monte Carlo Simulation: This complex method involves running numerous simulations of potential future price paths for assets, providing a comprehensive view of potential risks.

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