QuoteOriginally posted by: chocolatemoneyQuoteOriginally posted by: GamalWho cares how much your VaR is? It's not a traded asset, it's only for regulatory and accounting purposes, the error of 10% is nothing. You can take any distribution you want.Only one thing is important - stability. If your VaR changes too much in one short time period, you may expect questions from your executives.You probably know already all this, but anyway: make sure that the model you cherry pick and its calibration/estimation procedure are in line with what your regulator expects from you. Actually, in some legal contexts and within some jurisdictions, reporting to the regulator a different VaR than the one used internally may be a problem - in particular if the internal VaR is higher than the one sent over to the regulators in a period of meaningful drawdown. After having learned the lesson, and wasted my time dealing with the bureaucrats, I'd just implement the VaR as the regulator wants it...Agree - even more, regulators want total evidence (who did what and when on each single transaction). So, the integration of valuation and data management (copyright Xenomorph) will become indispensable. But to do risk management that Aaron Brown calls "red-blooded", you might want to be interested in cubes of VaRs (instrument contributions, risk factors, ..). And if your methodology and valuations do this wrong, you might get a wrong picture?It is the old story that comes to my mind from total quality management (in, say, process or manufacturing industries) and the ISO quality certificates (late 80s) - the certifiers wanted evidence, whilst we already started controlling the required quality by production feature control. Forced by aerospace, automotive, .. industries.