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Delta Gamma VaR

Delta Gamma VaR is a way to measure the value at risk for non-linear portfolios using the analytical approach. The method is essentially a second order Taylor series approximation to calculate the value at risk. This approach will work as long as the value of the position can be reasonably approximated by a quadratic function. This will work over a moderate range of price variations, but will not be appropriate for large price moves in crisis situations. You can read a more detailed treatment of how to implement Delta Gamma VaR here.

 

The spreadsheets are no longer available for free download. They are now only available for download to anyone who purchases the Kindle Book Introduction to Market and Value at Risk 

 

 

 

 

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