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The document provides methodological guidelines for calculating Value at Risk (VaR) using historical, parametric, and Monte Carlo methods for a portfolio of stocks held by an Italian bank subsidiary of a Russian bank. It outlines the key steps for each method, including: [1] sorting historical returns and taking the value at the confidence level percentile for the historical method, [2] calculating the sample mean and variance to determine the quantile value for the parametric method, [3] using price distri

Author

dheatalitha

Language

EN