Скачать или смотреть What Are The Assumptions Of Parametric VaR Calculation?

This video explores the fundamental assumptions underpinning the Parametric Value at Risk (VaR) calculation. Understanding these core premises is crucial for accurately interpreting and applying VaR in financial risk management.

While the script is unavailable, a comprehensive video on Parametric VaR assumptions would typically cover:
► The critical assumption of normally distributed asset returns.
► The premise of constant volatility and correlation over the specified holding period.
► The implication that historical data accurately reflects future market behavior.
► The understanding that VaR only measures downside risk, not potential upside or extreme events.
► The focus on linear relationships between portfolio components, ignoring non-linear derivatives.


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