<t>There are 2 nonlinearities.1). Exponential shock of underlying is nonlinear.2). For some products, there is nonlinear relationship between underlying and derivative.In the "RiskMetircs" VaR, the VaR for linear products is the same whether you are long or short since 1). is taken care of by exp(x)...

Try http://www.stanford.edu/~duffie/