Value at Risk — Parametric (Gaussian)

category: Risk Management
formula: VaR_α = -(μ + Z_α × σ) × √T
formula latex: \text{VaR}_\alpha = -(\mu + Z_\alpha \sigma)\sqrt{T}
limitations: Assumes normality; understates tail risk
related terms: var, normal-distribution, z-score

Name: Value at Risk — Parametric (Gaussian)
Author: Wall Street Wiki

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VaR computed under a normal-distribution assumption from mean and standard deviation.

Details

VaR_α = -(μ + Z_α × σ) × √T