VaR Approximation Methods
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چکیده
Banks and other financial institutions across the world use various approaches to quantify risk in their portfolios. Regulators require that value at risk (VaR), calculated based on the historical data, be used for certain reporting and capital allocation purposes. Currently, this simple risk measure, historical VaR or HsVaR, is computed by some firms using the full revaluation method, which is computationally intensive.
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