Tell me the different ways that you can calculate VaR (Value at Risk). Tell me the different types of VaR that you know. Discuss the flaws of Black-Scholes. How do you calculate non-linear VaR. Tell me the different ways that you can calculate VaR (Value at Risk). Tell me the different types of VaR that you know. Discuss the flaws of Black-Scholes. How do you calculate non-linear VaR.