CCRO: Value at Risk Methodology and Model

  • Welcome to the CCRO Survey on VaR Methodology and Model

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  • Statement of Purpose

    This survey benchmarks current practices in commodity market risk management related specifically to the use of and calculation of Value at Risk (VaR). It focuses on organizational deployment, modeling approaches, data inputs, and governance of VaR.

    Aggregated responses will be shared anonymously to support peer comparison and industry benchmarking.

  • Respondent Information

  • I. VaR Methodology Details

  • 1. What VaR methodologies are currently in use?  (Check all that apply)*
  • 1.b. If you use Monte Carlo VaR, do you apply any of the following techniques to improve efficiency, realism, or accuracy? (Check all that apply)
  • 2. What confidence level do you use for VaR calculations?*
  • 2.a. How was your VaR confidence level determined? (Check all that apply)*
  • 3. How do you model optionality within your risk calculations?*
  • 4. How do you map portfolio exposures into your VaR model for internal analysis or reporting?*
  • 5. What holding period do you use for VaR?*
  • 5.a. How is your VaR holding period determined?*

  • II. Data Inputs & Horizon Assumptions

  • 6. What historical data approach do you use for VaR? (Check all that apply)*
  • 7. How do you determine volatility and correlation inputs for VaR?  (Check all that apply)*
  • 8. How frequently do you update volatility and correlation parameters?*
  • 10. Do you apply any adjustments or overlays to historical correlations? (Check all that apply)*
  • 11. How do you model historical data gaps, illiquid markets, or newly traded products? (Check all that apply)*

  • III. Backtesting & Model Validation

  • 12. Do you perform backtesting on your VaR model? If so, what is the frequency?*
  • 13. Over what period do you typically backtest your VaR model?*
  • 14. What backtesting approaches do you use? (Check all that apply)*
  • 15. How do you respond to VaR model exceptions or breaches? (Check all that apply)*
  • 16. Who is accountable for VaR model validation and governance?*

  • IV. Final Questions

  • 18. Would you be interested in participating in a follow-up discussion or roundtable on VaR best practices?*

  • The CCRO Survey on VaR Methodology and Model has been completed! Thank you for your participation.

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