Description: This article examines how parameter uncertainty leads to uncertainty in Value at Risk VaR estimates. Lacking a closed form solution, we use a first order approximation of VaR to map parameter changes into changes in the VaR value. When the asymptotic distribution of parameter estimates is normal, this implies a normal approximation of the confidence interval about VaR. We describe this approximation in detail and explore some extensions to risk factor modeling.

Description: Investment Fallacies: Simulation of Long-Term Stock Returns: Fat-Tails and Mean Reversion

Description: Investment Fallacies: Bitcoin Fallacies