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A General Approach to Calculating VaR Without Volatilities and Correlations
Jan 1, 2010
In the previous RiskMetrics Monitor in Streamlining the risk measurement process, we described an alternative to the variance-covariance (VCV) method for portfolio risk analysis. We called this method portfolio aggregation. In this article we provide a general framework that end-users can apply to produce estimates of VaR. As a specific example of this approach, we show how to employ Monte Carlo simulation without computing a covariance matrix.
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