标题: Advantages/Disadvantages of VAR [打印本页] 作者: brain_wash_your 时间: 2011-7-11 19:51 标题: Advantages/Disadvantages of VAR
Little doubt that VAR could show up in the exam. Advantages/Disadvantages of VAR?
Not in the schweser notes.作者: wake2000 时间: 2011-7-11 19:51
Sure it's in the Schweser Notes.
From memory:
Advantage would be being able to compare and combine very dissimilar asset classes or business units with (depending on the method of calculation) no assumption of distribution normality.
Disadvantage is primarily that it doesn't provide any sense of the shape of the distribution exceeding the VAR loss.作者: Darien 时间: 2011-7-11 19:51
the sharpe ratio also does not appear anywhere in the schweser notes. could someone please enlighten me as to this obscure and rarely mentioned formula?作者: mik82 时间: 2011-7-11 19:51
