The instrument is a european put option deep in the money. S_0 = 100, K=10000, T=1/365, r=0.04, sigma = 0.2 which can be priced with the black scholes model. The delta is -1 which is obtained from the black scholes model.

From my simulation i get a 1 % VaR of 2.419 and from the delta normal model I get 0.465.

The simulation is based on a geometric brownian motion to generate scenarios.

S_t = S_0 exp((mu-sigma^2/2)*t + sigma * W_t)

Does anybody have an idea as to what goes wrong?