Qu'est-ce que « Parametric value at risk » ?

Parametric value at risk (delta-normal) linearises the P&L in the factor changes, $\Delta V\approx\delta^\top x$, assumes $x$ normal with covariance $\Sigma$, and gives $\mathrm{VaR}_\alpha = z_\alpha\sqrt{\delta^\top\Sigma\delta}$. With exponentially weighted covariances ($\Sigma_t = \lambda\Sigma_{t-1}+(1-\lambda)x_tx_t^\top$, $\lambda = 0.94$ for daily data in RiskMetrics) it follows volatility quickly.