Value-at-risk is a standard risk metric calculated to assess the upper limit on losses incurred by a portfolio due to adverse market moves for a specified confidence level. Usually it is calculated over a 10 day period using a confidence level of 99% (95% is also common). There are three commonly used methodologies for calculating VaR (Bohdalová, 2007). These are the delta-normal method, historical simulation and Monte-Carlo simulation based method.

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