Computation Methods
VaR can be estimated either parametrically (for example, variance-covariance VaR or delta-gamma VaR) or nonparametrically (for examples, historical simulation VaR or resampled VaR). Nonparametric methods of VaR estimation are discussed in Markovich and Novak.
A recent McKinsey report estimated that 85% of large banks were using historical simulation. The other 15% used Monte Carlo methods.
Read more about this topic: Value At Risk
Famous quotes containing the words computation and/or methods:
“I suppose that Paderewski can play superbly, if not quite at his best, while his thoughts wander to the other end of the world, or possibly busy themselves with a computation of the receipts as he gazes out across the auditorium. I know a great actor, a master technician, can let his thoughts play truant from the scene ...”
—Minnie Maddern Fiske (1865–1932)
“The methods by which a trade union can alone act, are necessarily destructive; its organization is necessarily tyrannical.”
—Henry George (1839–1897)