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 getting-started/directquery.html
- DirectQuery
test ../ test dashboards.html
Dashboards
test ../ test calculations.html
Calculations Guide
test ../ test calculations/component.html
- Component Measures
test ../ test calculations/corporate-actions.html
- Corporate Actions
test ../ test calculations/cross-sensitivity.html
- Cross sensitivity
test ../ test calculations/exchange-rate-and-market-data-api.html
- Exchange Rate and Market Data API
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/pnl-explain.html
- PnL Explain
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 cube.html
Cube Reference
test ../ test datastore.html
Datastores
test ../ test input-files.html
Input file formats
test ../ test properties.html
Properties
test ../ test what-if.html
What-If Analysis
test ../ test database.html
Database
test ../ test sign-off.html
Sign-Off Approvals
test ../ test limits.html
Limit monitoring
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-ui-config.html
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Configuring the UI
test ../ test dev/dev-mr-application.html
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The Market Risk Application
test ../ test dev/dev-libraries.html
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Market Risk Libraries
test ../ test dev/dev-extensions.html
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Extending Atoti Market Risk
test ../ test dev/dev-tools.html
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Configuring 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 dev/dev-direct-query.html
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DirectQuery
test ../ test pdf-guides.html
PDF Guides
Parametric VaR
The Parametric VaR calculation assumes that the PnL returns are normally distributed and also
independent of 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