标题: VAR - Clarification [打印本页] 作者: Wendy01 时间: 2011-7-13 13:17 标题: VAR - Clarification
The longer the time period chosen, the greater the VAR number will be because the magnitude of potential losses varies directly with the time span over they are measured.
Does this mean if daily VAR is $1MM with 95% confidence, the montly VAR will be close $30MM with 95% confidence level? Am I intrepreting this right?作者: justin88 时间: 2011-7-13 13:17
Not exactly. It depends on which method you use to calculate VAR(Analytical, Historical, or Monte Carlo). If you are using Analytical (which uses standard deviation, or SD), you'd have to multiply your daily SD by the square root of 30 to get your monthly SD, or you could just calculate monthly SD directly using monthly return data. From there you can calculate your monthly VAR. With historical VAR, you'd have to find the actual monthly return that corresponds to the lowest 5%. With Monte Carlo, you'd use monthly data for your simulations and let the simulation results tell you what the monthly VAR.作者: bkballa 时间: 2011-7-13 13:17
