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Retain the loss definition
Name the common unit, horizon, positive-loss sign and exposure or return transformation. Identify whether source dispersion is variance or standard deviation and whether a mean refers to return, profit or loss.
Check the distribution record
Keep a declared assumption separate from fitted parameters and normality evidence. Separate normal marginals do not establish a joint normal portfolio law, and a large sample alone does not establish normality of individual losses.
Review the measure and coefficient
| Layer | Question |
|---|---|
| Confidence | Which supported percentile? |
| VaR | Mean plus dispersion times quantile? |
| ES | First moment divided by selected tail probability? |
| Density | Height distinguished from interval area? |
| Zero scale | Constant limit used without standardization? |
| Support | Finite plot distinguished from unbounded law? |
State any aggregation model
An independent additive-normal sum has separate mean and dispersion scaling. Other dependence, cash-flow or nonlinear setups need a different record. Retain unresolved evidence instead of treating a correct formula as validation of missing assumptions.