Understanding Value at Risk (VaR): Explanation and Calculation Methods

Learn how Value at Risk (VaR) predicts possible investment losses and explore three key methods for calculating VaR: historical, variance-covariance, and Monte Carlo.
Investopedia

Parametric Method in Value at Risk (VaR): Definition and Examples

Investopedia contributors come from a range of backgrounds, and over 25 years there have been thousands of expert writers and editors who have contributed. Gordon Scott has been an active investor and ...
JSTOR Daily

Matrix Methods in Components of Variance and Covariance Analysis

The Annals of Mathematical Statistics, Vol. 27, No. 3 (Sep., 1956), pp. 737-748 (12 pages) The sampling variance of the least squares estimates of the components of variance in an unbalanced ...
JSTOR Daily

Asymptotic Information and Variance-Covariance Matrices for the Linear Structural Model

Journal of the Royal Statistical Society. Series D (The Statistician), Vol. 48, No. 4 (1999), pp. 477-493 (17 pages) Many papers have addressed the problem of fitting a straight line to a set of ...