Barclays Interview Question: Tell me the different ways th... |

Interview Question

Market Risk Analyst Interview London, England

Tell me the different ways that you can calculate VaR

  (Value at Risk).

Interview Answer

2 Answers


I think I said Monte Carlo, delta, gamma and Black-Scholes.

Interview Candidate on 31 Oct 2011

Typically there are 3 ways in the industry to calculate VaR:
1. Historical (by far the most common, IME)
2. Parametric (not very useful, as returns tend to not be normal, unless you use EVT)
3. Monte Carlo (more often used in fixed income and other credit/debt portfolios than other asset classes)

Anonymous on 12 Sep 2012

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