In risk measurement, VaR is usually reported alongside other risk metrics such as [[standard deviation]], [[expected shortfall]] and “[[Greeks (finance)|]]” ([[partial derivative]]s of portfolio value with respect to market factors). VaR is a [[...|distribution-free]] metric, that is it does not depend on assumptions about the probability distribution of future gains and losses.ref The probability level is chosen deep enough in the left tail of the loss distribution to be relevant for risk decisions, but not so deep as to be difficult to estimate with accuracy.ref== Computation methods ==
VaR can be estimated either parametrically (for example, [[variance]]-[[covariance]] VaR or [[Greeks (finance)#Delta|delta]]-[[Greeks (finance)#Gamma|gamma]] VaR) or nonparametrically (for examples, historical [[simulation]] VaR or VaR).refref Nonparametric methods of VaR estimation are discussed in Markovich ref and Novak.ref
A McKinsey reportref published in May 2012 estimated that 85% of large banks were using [[historical simulation]]. The other 15% used Monte Carlo methods.