Garman Unveils 'VAR Delta' Methodology


A new buzzword for risk managers was born last week when options theorist Mark Garman unveiled his latest concept: VAR delta.

As its name suggests, VAR delta is a technique for estimating the effect of a small number of trades on the value-at-risk figure associated with a portfolio of instruments.

Garman, who is also president of Californian analytics house Financial Engineering Associates, describes VAR delta as a "technological breakthrough" that will move value-at-risk calculations into the

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