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
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