标题: Daily VAR [打印本页] 作者: joehogue 时间: 2011-7-11 19:14 标题: Daily VAR
"What is the 5% DAILY VAR if the ANNUAL expected return is 9.55% and ANNUAL standard deviation is 14.87%, using Analytical Method of calculating VAR?"
I'm trying to figure out the number of days you will have in the denominator while converting annual expected return and standard deviation into daily expected return and standard deviation. Will you have the same # of days in the denominator (252) for both OR 365 for expected return and 252 for standard deviation?作者: Colum 时间: 2011-7-11 19:14
you use 250 days for the year
daily return = 9.55% / 250 = .0382%
daily std dev = 14.87% / 250^1/2 = .9405%
daily VaR at 5% = .0382% - 1.65(.9405%) = -1.5136%作者: lcw77 时间: 2011-7-11 19:14
Thanks mcap11!作者: mp3bu 时间: 2011-7-11 19:14
"daily VaR at 5% = .0382% - 1.65(.9405%) = -1.5136%"
Wait, dumb question, but how do you interpret this? VaR is supposed to be a dollar amount.作者: IAmNeil 时间: 2011-7-11 19:14
If you had $500M portfolio, take $500M * 1.5136% = $7.568M daily VAR作者: Darien 时间: 2011-7-11 19:14
So you can be 95% sure that you will lose at least 1.5136% on any given day?
Or there is a 5% chance that you will lose at least 1.5136% on any given day in that year?作者: liangfeng 时间: 2011-7-11 19:14
