計算風險值不同的方法 Parametric Estimates VaR with equation that specifies parameters such as volatility, correlation, delta, and gamma as input Monte carlo simulation Estimates Var by simulating random scenarios and revaluing positions in the portfolio Total VaR Histogram Historical simulation Estimates Var by reliving history, takes actual historical rates and revalues positions for each change in the market10 ➢ Parametric Estimates VaR with equation that specifies parameters such as volatility, correlation, delta, and gamma as input. ➢ Monte Carlo simulation Estimates VaR by simulating random scenarios and revaluing positions in the portfolio. ➢ Historical simulation Estimates VaR by reliving history; takes actual historical rates and revalues positions for each change in the market. 計算風險值不同的方法