Moving Towards Real Time Calculation of VaR – Real Time VaR Part 2

This blog post will continue the discussion I started regarding the Final Year Project I am doing with 3 other undergraduates. I describe the three most commonly used methods to calculate Value at Risk (VaR). They are; Historical Simulation Method Parametric or Variance-Covariance Method Monte Carlo Simulation VaR is normally calculated for a given portfolio. [...]