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(5) Also note the difference between beta-neutral and delta-neutral for market-neutral strategies.
(6) There is no such thing as vanilla “VaR”. VaR must defined over a time frame and event likelihood. For example, a 1-day 1% VAR would be say $10MM. This means, 1% of days you can expect to lose at least $10MM, maybe more.
Contrast this with 1-day 5% VAR, which would be lower, say $5MM. Again, this just says that on 5% of days you can expect to lose at least $5MM, maybe more.
5-day 1% VAR could be higher or lower (than 1 / 1%), depending on your return distribution. |
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发表于 2013-4-8 16:13
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