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Documentation Index

Fetch the complete documentation index at: https://docs.activeviam.com/llms.txt

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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