Hybrid VaR

The hybrid approach to calculating value at risk (VaR) is a variant of historical VaR. As with historical VaR, the hybrid approach is based on the distribution of actual historical returns. The hybrid approach is different in that it places more weight on more recent data. By placing more weight on more recent data, the hybrid model can react more quickly to changing market environments.

For more information on VaR models, see our white paper, An Introduction to Value at Risk.

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