Value at Risk's Formula At a Glance

Eddy said: A summary of some prominent approaches to VAR. There are more out there. Basically VAR approaches can be broadly classified into 2 types: Local Valuation and Full Valuation. Full Valuation VAR includes Monte Carlo and Historical Simulation whereas Local Valuation covers Factors Methods and Diagonal Methods.

Linear VAR, Full Valuation VAR, Delta VAR, Delta-Normal VAR, Delta-Gamma VAR, Monte Carlo VAR, Historical Simulation VAR.