VaR for the day:  For securities traded during the day | For all outstanding securities

 VaR Time Series (Archive)

 Help with the VaR file



Help with VaR file

• The table gives the 99% Value-at-Risk (VaR) for each security using various methods at 1-day horizon, 10-day horizon and 1-month horizon



• Normal (Variance-covariance) analysis is based on the assumption that financial returns are normally distributed



• The Historical Simulation method uses empirical percentiles from the historical return distribution



• WNormal and WHistorical_Simulation are Weighted Normal and Weighted Historical Simulation with exponentially declining weights that give more weight to recent past than distant past



• VaR of a portfolio of securities computed as the weighted sum of individual security VaR would provide a more conservative estimate than VaR computed directly for the entire portfolio



• To compute the Capital charge, multiply the appropriate VaR numbers with a scale factor of 3 (or any other number as desired by RBI).

For further details and clarifications contact:

National Stock Exchange,
Bandra-Kurla Complex,
Bandra (E),
Mumbai - 400051

Phone: (022) 2659 8285