Navigation :
test ../ test user-ref.html
User & Reference Guide
test ../ test getting-started.html
Getting started
test ../ test getting-started/about.html
- Using this guide
test ../ test getting-started/whats-new.html
- What's New
test ../ test getting-started/data-model.html
- Market Risk Data Model
test ../ test dashboards.html
Dashboards
test ../ test what-if.html
What-If Analysis
test ../ test sign-off.html
Sign-Off Approvals
test ../ test calculations.html
Calculations Guide
test ../ test calculations/component.html
- Component Measures
test ../ test calculations/corporate-actions.html
- Corporate Actions
test ../ test calculations/fx-calculation-theory.html
- FX calculation theory
test ../ test calculations/fx-effect-on-var.html
- FX Effect on VaR
test ../ test calculations/fx-rates-service.html
- FX Rates Service
test ../ test calculations/incremental.html
- Incremental Measures
test ../ test calculations/lestimated.html
- LEstimated Measures
test ../ test calculations/parametric-var.html
- Parametric VaR
test ../ test calculations/sensitivity-ladders.html
- Sensitivity ladders
test ../ test calculations/taylor-var.html
- Taylor VaR
test ../ test calculations/var-interpolation.html
- VaR Interpolation
test ../ test calculations/whs.html
- WHS
test ../ test configuration.html
Configuration files
test ../ test cube.html
Cube Reference
test ../ test datastore.html
Datastores
test ../ test input-files.html
Input file formats
test ../ test dev.html
Developer Guide
test ../ test dev/dev-release.html
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Release and migration notes
test ../ test dev/dev-getting-started.html
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Getting Started
test ../ test dev/dev-ref-impl.html
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Market Risk Accelerator Reference Implementation
test ../ test dev/dev-core.html
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MRA Core
test ../ test dev/dev-extensions.html
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Extending the Accelerator
test ../ test dev/dev-tools.html
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Configuring Accelerator tools and methodologies
test ../ test dev/dev-sign-off.html
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Sign-Off
test ../ test dev/dev-whatif.html
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What-If
test ../ test pdf-guides.html
PDF Guides
test ../ test extensibility.html
Extensibility
test ../ test misc.html
Misc
Parametric VaR
The Parametric VaR calculation assumes that the PnL returns are normally distributed and also
independent from each other.
Consequently, the calculated standard deviation is used to compute a standard normal Z-score to determine the VaR.
Example of parametric VaR calculation:
Standard deviation of PnL over specified time period: 25,000
Mean of PnL over specified time period: 50,000
Z-score for 99% confidence level: 2.326
The Parametric VaR for the specified time period with a 99% confidence level is:
50,000 - 25,000 * 2.326 = -$8,150