Navigation :
test ./ test user-ref.html
User & Reference Guide
test ../ test getting-started.html
Getting started
test ../ test getting-started/overview.html
- Atoti Market Risk overview
test ../ test getting-started/data-model.html
- Market Risk Data Model
test ../ test getting-started/directquery.html
- DirectQuery
test ../ test getting-started/about.html
- Using this guide
test ../ test getting-started/whats-new.html
- What's New
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-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
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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
-
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
test ../ test market-data-api.html
Market-data-api
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