In this article, we look at the VaR and CVaR on several underlyings used in the US structured products market.

The analysis shows that the SPDR Gold Shares ETF managed to minimise possible losses, while the capital invested on the VanEck Vectors Gold Miners ETF was exposed to greater risk. Alibaba also saw a drastic improvement in its risk profile in 2020. All in all, value-at-risk (VaR) piled up for single underliers but decelerated for structured products – once again supporting the protective nature of structured products. To increase our understanding of volatility, we looked at the VaR - a m

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