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 (18651932)
“A writer who writes, I am alone ... can be considered rather comical. It is comical for a man to recognize his solitude by addressing a reader and by using methods that prevent the individual from being alone. The word alone is just as general as the word bread. To pronounce it is to summon to oneself the presence of everything the word excludes.”
—Maurice Blanchot (b. 1907)