The main problem with the parametric approach to the calculation of value-at-risk is the assumption that the rate of return:

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The main issue with the parametric approach to calculating value-at-risk (VaR) is the assumption that returns are normally distributed. This assumption can be problematic because financial returns often exhibit fat tails and are not perfectly normal, leading to potential underestimation of risk.

The Main Problem with the Parametric Approach to the Calculation