Value at Risk (VaR) calculation is a critical skill for modern portfolio management, providing quantitative answers to the fundamental question: 'What is the largest amount I might lose on an investment?' This comprehensive implementation guide demonstrates both theoretical foundations and practical calculations.

Two primary approaches exist for VaR calculation: non-parametric methods that make no distributional assumptions, and parametric methods that assume returns follow known distributions. Each approach offers distinct advantages and is suited to different market conditions and data characteristics.

Advanced VaR tools including Marginal VaR, Incremental VaR, and Component VaR provide sophisticated risk attribution and portfolio optimization capabilities, enabling detailed risk management and strategic decision-making across complex multi-asset portfolios.