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Description:
An easy method for calculating parametric value at risk is given, using significant decay factors. Please note that it assumes constant weightings of securities, which is not true in general for portfolios but is true for 1 equity portfolios and certain benchmark constructions. (e.g, 30% MSCI world, 70% Barclays Gloagg)

Nervously this is my first short paper since I left university, please give me your comments. (It's already well known etc)